Crysis - By the end I was hoping I still had to go back to the island to deal with the 'ice bubble'. Time simply flew by in that game

Quake IV - No! I want to continue fighting the Strogg!

Thief 3 - I remember becoming upset when I realized I was reaching the end of the game.

Commandos 2 - Keeping my fingers crossed that the Eifel Tower level would not be the last did not work :(

Blade Runner - I'm not sure if I would ever get tired of visiting the various fascinating locations in that game.

Little Big Adventure 1 - Similar situation as Blade Runner: I just wanted to keep on exploring the fascinating world. A true game of a game.

and finally, as a kid, since new games were few and far between you always wanted your favorites to just keep going:
Commander Keen 1
Bio Menace
Police Quest 1

Nice thread idea. :)

First off, as Matewis said: Quake 4 & Crysis

My own additions:

System Shock 1(loved the setting/etc) and the sequel -It's a shame that even with that and the extra FMs some made I am still unsated.

Run Like Hell(Xbox) -Great world/plot/gameplay/music....it's a shame the sequel never came to be.

Exile 3(spiderweb software) -The timed "decay" of the world around you if you delayed too long made it interesting and tense(in a good way) and the game was fun to play through as you discovered more and more about the bad things going on & worked to stop them.

Witcher 3... but hey, there's new game plus!

To start with one that shouldn't have ended where it did because it actually is unfinished, and no sequel was released either, Anachronox.

Then, things to be said about Betrayal at Krondor (by the end I was too focused on tedious things to eke any last bit of improvement for the characters, but nevertheless I felt quite immersed in it and there was that feeling of playing a book...), King's Bounty: The Legend (sure, they made plenty more after it, and I'm yet to even play Armored Princess, which is supposedly the other good one, but that changed things too and I liked how that one worked quite a lot, the gameplay itself), Might and Magic VI (again, liked the gameplay itself, though by the end, when it got to the sci-fi part, it didn't feel too right anymore, so maybe say that I didn't want it to get there), Quest for Glory 2 (replayed this lots of times back in the day, could have sure used more of it instead of replays, and next ones are different, but of course it was a matter of limited access to games then) and Vampire: The Masquerade - Bloodlines (I mean, come on...).