Well, somewhat related, but The Golden Compass. Sure, it never had a sequel, but if you read the books you can tell how difficult it would have been to make sequels out of them, especially considering all the contraversy surrounding The Golden Compass in the first place, and it was pretty tame in comparison to what would of followed. Also there's the fact that I feel the trilogy just kind of fell apart the further it went along. The 3rd book was so bad it wouldn't have made sense to make a movie out of it. So, we got one passable movie out of the trilogy, with difficulty of making the two others. That said, why bother making a movie when you know the following material will be hard to make in terms of the ire it would bring itself? So then, we have a movie with a cliffhanger to a series that would never be resolved on screen! What a paradox. The ironic thing is that the movie is better served as being self-contained without a cliffhanger.
So, yeah, don't go doing trilogies unless you know you can actually, you know, complete them.