I suppose there are a lot of anime with plot that make you fall head over heel then became disappoiting in the end and want to discuss about them. Remember, they aren't necessarily bad, just those that ticked you off.
For me, are:
+Blassreiter: a good-depth in characterization combines with flashy mecha battles and fantastic post-apocalysptic story.
It's one of the best Gonzo's shows I've watch except one thing: almost everyone died in the end.
+Kampfer: a predictable, tasteless harem with the common retarded playboy, and WTH is wrong with the ending, everyone
turned into stuffed animals and Merry Christmas. Even it there's a sequel, the show is full of WTFness >=(.
+Hakuouki: didn't watch the 2nd season, but according to what I've read, everyone died. After that much of a
failure, now they decided to kill everyone to make things emotianal. There must be a monkey behind the production of
this trap.
+Togainu no Chi: Keisuke sacrificed his life for your sake, now you're going to waste it, Akira?
+Shiki: that's it! I'm going to complain about this in the reviews.
+Umineko: where the hell is second season?
+Kare Kano: ended abruptedly even if it's followed by the manga. Should have ended when it could.
+Jigoku Shoujo season 3: they're at it again, Yuzuki died and Ai became the JS, the strings of hatred continue all
over and over. The series should have ended with Futakomori, which was the best of the three.
There are more but these will do for now. What about you?