In Golden Sun, you have only managed to climb up one of the four Elemental Lighthouses when you reach the final Dungeon, Venus Lighthouse. If you haven't been reading a guide (or spoiled by this example) you'd assume you were halfway through the game. To be fair, the game does provide some hints, the Infinity +1 Sword is contained inside, and the music does lend the tower a tone of The Very Definitely Final Dungeon. But once you reach the top, the game throws both the main antagonists of the story at you, you beat them, then they combine and throw the Final Boss at you. Once you beat that, the game just ends. The missing friends are still missing, the party travels off to parts unknown, and the credits roll. Quite an impressive feat, making a very big cliffhanger that wasn't resolved for a few years when the second game came out.
To be fair, this cliffhanger is the result of Camelot splitting what was supposed to be one game into two games, Golden Sun 1 and The Lost Age.
Another one is at the end of The Lost Age. Alex has just been granted demi-god powers, but is then pinned to a mountaintop, and sent crashing down to the Earth, however, The Wise One implies they will meet again, and the last shot of the game, is Mt. Aleph still standing...
The third game Dark Dawn has its own as well. After everything looks happy and peaceful. The heroes return home and they realize that there was one thing they didn't look into to solve. Now it appears to be far more threatening then it was when they last encountered it.
A (particularly frustrating) example with Halo 2: Cortana in the clutches of the Gravemind. Miranda, Arbiter and Johnson stuck on Delta Halo. Master Chief emerging from slipspace, stowed away on an enemy ship, to find Earth's defenses about to be overwhelmed by the Covenant fleet. Roll credits with nothing more than a heroic one-liner. Only partially resolved with Halo 3 - We see Master Chief arriving on Earth, but we don't see how Arbiter and co. get back. How MC actually got off the enemy ship is explored in the spin-off comic series Halo: Uprising, and Cortana's fate is a plot-point for the rest of the game.
Cliffhangers are standard for Telltale Games, as their games come in monthly installments.
Call of Duty: Modern Warfare 2 ends on a rather big one. The Invasion of the US is stopped and presumably the US counterstrike is about to begin. Soap and Price are wanted Fugitives, Shepherd is dead but his plan is in motion and you still have no idea where Makarov is.
The Sequel shows that the war becomes over near the end of the game, and also Soap dies from a later injury from a mission, and Price gets a BSOD, and in the final mission, Price kills Makarov with Punches and with the finish of Makarov being hanged.
The original Arcade game always ends with the characters getting sent back in the past due to being in a time loop. Most worse is Ragna's, where he gets to fuse into a monster, sent back as a destructive monster in the past that gets killed.
The console version had the crew getting out of the time loop... just in time for the supposed Big Bad, Terumi, showing himself off and got away scots free for his next plan... giving Tsubaki the order to assassinate Noel and Jin (still a psycho).
The original Arcade of the sequel eventually had the characters confront Terumi, beat him... then Terumi reveals that he's just warming up and he summons Noel, turned into a mindless monster bent on destroying the world, to fight you... and the game ends.
The console version of the sequel threw A LOT of surprises: Noel gets saved and Jin stops being a psycho. However, Tsubaki had a new resentment with Noel and stuck with NOL, thus not quite giving Jin and Noel a happy end for all they've been through. Then, the originally good-hearted Litchi turns antagonist and joins NOL so she can procure the cure for Arakune which is in NOL all while having her degenerate further, and lastly... Terumi is not the Big Bad. The Big Bad, the NOL Imperator, turns out to be Saya, Ragna and Jin's sister! Then they all head off to Ikaruga for the sequel to come. And if the supplying material is to be trusted... turns out Saya was just being a Puppet King, Terumi still retains his Big Bad Duumvirate position with Relius.
Asura's Wrath. In multiple times in the True End. Deus is dead, Asura can finally reunite with Mithra... and suddenly Olga appears and threatens to kill her for Deus' death... until all of the sudden, that Golden Spider accompanying Asura most of the time kills Olga, possesses Mithra and... the end, that's it. Regardless, at the end of the game, Asura is still pissed off.
Penny Arcade Adventures Episode 3 ends with Tycho being murdered by the Bigger Bad, Gabe and the Big Bad being hurled through a wormhole while the former repeatedly punches the latter, and Moira and Jim being banished to what looks like Hell, where Jim acquires a full body (and vocal cords). The last shot is of an inexplicably alive Tycho surveying a wasteland, but he seems...changed.
Which leads directly into the 4th game: the world has been destroyed, all that remains is Hell (of the Under and Over varieties), and according to not-quite-right-Tycho, the only thing that can be done now is killing the final windowsill god to unmake the world in the hopes that a new one will be created.
The second Ace Attorney game has this in the middle of the game. At the end of episode 2, when Morgan Fey is arrested for assisting in a murder, she is shown talking to someone; who's identity is unknown to the player, about how her time is coming and that her plan will soon come to be. This cliffhanger, who she's talking to, and what she means isn't resolved until the next game.
The ending of episode I in Doom has the marine finding himself teleported into a dark room with a damaging floor, surrounded on all sides by enemies, and unable to escape. The episode ends just as he's down to his last health points. Episode II, of course, begins with him alive and well. According toWord of God, the marine killed all the enemies and escaped (how he managed to do that within the half-second or so that separated him from death is left as an exercise to the reader.)
Escape from Thunder Island and its sequel Rita James and the Race to Shangri La, being parodies of 40s film serials, have actual in-game cliffhangers with an announcer and punny titles.
The first Art of Fighting ends with Ryo moments away from landing a killing blow against Mr. Karate, but his sister Yuri intercedes, and is about to reveal his identity when the game cuts to credits. The next game confirms that Mr. Karate is actually Ryo and Yuri's father, Takuma Sakazaki, who joins forces with his kids.
The Mega Man Legends series features the mother of all video game cliffhangers: At the end of the second game, the destruction of the Master system leaves Megaman stranded on Elysium with no way to return to Earth. The final scene shows Roll and Tron working on a rocket to get to the moon and save Megaman. A third game was in the works that would've resolved this plotline, but was cancelled, which caused Keiji Inafune to leave Capcom.
In the PS2 game Haven: Call of the King, the endgame is as follows: The eponymous protagonist is chained to a wall with no way out and left to die of starvation/thirst. The "Great King" who Haven spent most of the game trying to signal so he would return and save his people is dead, poisoned by the evil alien overlord Vetch—who has escaped after the final battle, presumably to go wreak further havoc on Haven's people. Even getting 100% Completion doesn't help: the game adds a teaser screen for the sequel, suggesting things would carry on from there without actually giving any idea of how other than saying that the king was definitely, finally, totally dead. Then the sequel was never made due to poor sales.
Wing Commander II ended with Prince Thrakhath bragging to the Kilrathi Emperor about the utter destruction of the Confederation's 6th fleet in Deneb Sector, with the last words on the screen being "To be continued in Wing Commander III".note This is somewhat revealed at the beginning of Wing Commander III, in which the opening scene has Paladin and Maverick looking over the destruction of the Concordia, with rescue and recovery for other ships going on in the background.
Because of its episodic structure, each level of Alan Wake ends with a cliffhanger. Yes, this includes the last level.
Soldier of Fortune: Payback. Since the game was a critical and commercial flop, it will probably be left unresolved.
Half-Life 2: Episode 2 ended with Eli Vance killed by Combine Advisors, and Gordon and Alyx about to depart for the Arctic to find the Borealis vessel and meet up with the Resistance members there.Episode 3, which was slated to resolve this, is allegedly in Development Hell, but as Valve seems to have a penchant for avoiding discussing it at all it's looking more and more like an unfortunate case of Vapor Ware.
An early-2010 interview with Valve had them saying that they hadn't even started working on it yet. This is one of scant few bits of news (and the only one with any real info in it) regarding EP3 to come from Valve since EP2's release all the way back in 2007. But maybe the reason they aren't making Ep. 3 is because they are probably going to make a full-on sequel instead.
Dirgeof Cerberus, the canonical ending to the Final Fantasy VII series, ends with Genesis saving the Big Bad Weiss, then saying "there is still much to do". Nobody knows what they had to do because SE seems to have no plans to continue making FFVII games.
The online game Wasted Youth Part 1 ends with a cliffhanger with the answer to one of the disappearances. The end of Part 1 also serves as a Downer Ending due to your character getting framed for being forced to take pictures of girls sleeping without getting to explain what really happened. Currently, the sequel seems be in Development Hell.
Double Switch: Eddie presumably snatches the Egyptian statue and causes the vault containing treasure to be sealed again. The ending seems to be a Sequel Hook, but no sequel has been made.
Dark Souls: Both endings are like this primarily because you never find out what the end result of all your struggle amounted to for the world.
Vanquish ends with the Big Bad escaping the exploding space colony and being revealed as merely an agent for the Order of the Russian Star, and those Bogey suits you fought were just remote-controlled drones, causing the U.S. president to give up all hope and commit suicide. Due to poor sales (thanks to being greatly Screwed by the Network), Shinji Mikami leaving Platinum Games, and the expiration of Platinum's contract with Sega, chances for a sequel are almost nil.
Three of Rare Ltd.'s Sabre Man games (Underwurlde, Knight Lore and Pentagram) promised that Sabre Man's adventures would continue in the next episodenote Underwurlde actually had three exits to three different "next episodes", the easiest to reach being Knight Lore; the other was of course Pentagram, Mire Mare — which never got made because the 8-bit games era ended first. This is one of the earliest and most notorious examples of Vaporware.
Shenmue II. A third game was never made because Sega didn't earn back their budget for both games (because most people ended up pirating the first due to the Dreamcast's lack of copy protection, and the sequel was an Xbox exclusive in America), and Yu Suzuki left Sega or so we thought when he finally returned to the company and announced at E3 2015 that a third game would come to PlayStation 4 and PC, tying up some very loose ends.
Turok 3: Shadow of Oblivion by Acclaim ends on a post-credits cliffhanger. Adon tells the Council of Voices that she is certain that Joshua Fireseed, despite dying again following his brief resurrection by Oblivion, is still alive. Pleading for permission to try and save him, the council proclaims he was meant to die and denies her request. Adon adamantly says she will defy them and do it anyway before taking her leave. The council is then seen talking to a dark shaded female character who is told to "prepare herself" with the implication being that they have marked Adon for death and want Joshua to remain dead. Acclaim never resolved this ending with a direct sequel instead making one final Turok game, Turok: Evolution. It wasn't a sequel but a prequel to the previous games and the comic series they spun off from. Any chance of a genuine sequel went out the window as Acclaim went bankrupt in 2004. The whole Turok universe was later rebooted in the 2008 game Turok by Touchstone Games putting the ending of Turok 3 in cliffhanger limbo.
Baldur's Gate II does not belong in this category, but the Enhanced Edition's Black Pits 2 does (for the moment, since active development is still ongoing it's quite possible a Black Pits 3 adventure will come at some point) — the story is set to look similar to a repeat of the first one (grind up the ranks of the gladiatorial arena, lead a gladiator revolt, escape to freedom)... only, towards the end the Big Bad is revealed to have an unknown master of his own, and then when it looks like you'll get out to freedom a side-character is revealed as the Big Bad of the first Black Pits, and redirects you to an as-yet unrevealed location.
Ecco: The Tides of Time ends with the eponymous dolphin protagonist following the Vortex Queen into the time machine and "disappearing into time". Word of God said he had something in mind involving the Atlanteans, but alas, the third installment never materialized; the Dreamcast/PS2 game Defender of the Future was instead a Continuity Reboot by a different developer.
Life Is Strange. While Episodes 1 & 2 end on some form of closure, the ending of Episode 3, where Max inadvertently finds herself in an alternate timeline where Chloe is paralyzed, is just plain cruel.
Halo 5: Guardians ends in similarly abrupt fashion as Halo 2. Cortana has full control over the Guardians, with hundreds of AIs joining the Created, effectively shutting down the UNSC and forcing the Infinity to go on the run until they can find a way to fight back.
Xenoblade Chronicles X closes the main game's story with "This story never truly ends". While the game is so large, the story itself left so many holes that it demands a sequel to explain the rest of it. The Ganglion's leader is defeated, yet still roaming around. The ghosts were never touched. Lao revived mysteriously, alongside the unknown Black Knight. What now?