Definately Air Gear. Tenjou Tenge too. If you noticed, in Tenjou Tenge, they mentioned the martial arts tourney, but never got to making it. (As far as I know.) Quite a few others too:
Ichigo 100%:
The OVAs were not that nice. I would've preferred if they went on with the manga, or created an alternate ending to the manga. The OVAs with that underwear alien was really DUMB.
Phantom ~Requiem of the Phantom~:
I thought it had a "....." ending, where I didn't know WHY the ending ended as it did. I would like more episodes to explain WHY the ending was the way it is shown.
Black Cat:
Another ending that got me going "!@#$". IMO the ending was all rushed.
FMP:
A great series with no continuation so far.
Elfen Lied:
Not much comment, just that the series could've been longer and more detailed
School Rumble:
Where is the season where they all went to England????? WHERE????