Worst ending for me was easily Revenge of Shinobi on Genesis. Such a stellar game, but all we got for our effort was a screen of the ninja looking out on the horizon and "The End" before the credits reel. I must've been 11 at the time, and after my friend and I nerd-raged for 2 minutes, we decided to go outside and play ball.
EDIT: And I said this in another thread, but it's relevant here:
Remember the backlash with how The Sopranos ended? Personally, I thought it was a brilliant ending and super tasteful. It really left things up to the viewer's imagination and retained the mysterious and unpredictable nature of suburban mafiosos. What did people want? A final scene with tons of blood splatter and gore? Sure, perhaps viewers felt "blue-balled" at the time, but let it digest and think about it... yeah brilliant.