Advent Rising - The game may not have been all that successful, but the story was amazing and it was originally planned as a trilogy. The ending of the game was one of the worst cliffhangers ever (on par with XIII).
No One Lives Forever - The first two had some of the best spy humor this side of Austin Powers and there is so much more that they could have done with the title.
Freedom Force - Another game that was planned as a trilogy that never happened. At least we got two of the three games out of this one.
X-Com - I still don't understand why they stopped making games in this series. After Infogrames bought out Microprose they really dropped the ball with this one.
KotOR 3 - Yes, I know its been mentioned and I know about the MMO. The MMO is most definitely not KotOR 3. In fact, its not KotOR at all, its just The Old Republic. If I had the least bit of interest in MMOs, I might get excited about this, but since I feel that MMOs suck as a general rule, this is nothing but a disappointment for me. I want an actual single-player KotOR 3 that finally finishes the story they started in the first two games.
Vampire: The Masqurade - Bloodlines - This is the one that I am certain will never happen, but I wish for it anyway. White Wolf canceled the Masquerade line of games, started the Requiem line, then merged with CCP (of Eve Online fame) and are now working on a World of Darkness MMO. See above for my feelings on MMOs.