I'm surprised no one has mentioned The Lord of the Rings. At the theater I was in, people actually booed at the end of The Fellowship of the Ring, I presume because they felt totally ripped off by the ending -- which has the different members of the Fellowship heading off in their different directions, with no resolution at all.
I wasn't that crazy about The Two Towers, which chucked much of Tolkein's narrative structure for an overlong battle for Helm's Deep. (Again bringing up the question: What sort of idiot fortress designer builds and indestructible bridge leading up to a wooden door?)
But Return of the King pulled off what it had to do with elan, redeemed the other two, and Oscar sure liked it...