Film does this too, especially when doing the "two films at once" thing. Star Wars seems to have started the trend with the ending of The Empire Strikes Back, with Han Solo being captured, frozen in carbonite and being taken to Jabba the Hutt so he could be rescued at the beginning of Return of the Jedi.
The endings of the first two Back to the Future movies (each ending with a "To Be Continued..." at the end.) Note that the original theatrical run of Back to the Future did not have "To Be Continued..." at the end; it was only added later for VHS and TV prints when the first film became so popular, that they decided to do the sequels.
Film serials of the 1930's and 40's used this technique to bring audiences back each week to see how the heroes would get out of whatever tense situation they were last seen in. This was used to great effect in the The Adventures of Captain Marvel serial, despite the protagonist being Nigh Invulnerable to most forms of attack. Not only did they occasionally place Captain Marvel in situations where even his invulnerability might not protect him (including one infamous death trap involving molten lava), his mortal alter ego of Billy Batson was often placed in dangerous situations, making the audience wonder if he'd be able to escape or say his magic word in time.
The Corridors of Time, the sequel of Les Visiteurs, ended with the time-travelling knight Godefroy de Montmirail and his squire Jacquouille stranded in the middle of The French Revolution, with looming threats of torture and guillotine upon them. The sequel addressing their fate in that era finally came out... after a whopping 18 years gap.
The Hunger Games: Mockingjay Part 1 ends with a visibly-shaken Katniss visiting the hijacked Peeta, who acts like a wild animal in his restraints, while President Coin congratulates the rebels for the successful rescue of the Victors though reminding that the worst has yet to come.
Unresolved Cliffhangers:
Planet of the Apes (2001) ended with the human in a modern world where all people are apes... to be continued. But the movie was a failure, so there was no second part.
And let's not forget the movie The Italian Job (1969) (the original version) which ends with a literal cliffhanger that will never be resolved.
Eragon ended with one, but a sequel was never greenlit due to the scathing reviews and low box office numbers.
