I was reading one this morning (no, not going to let on what fandom or anything about it), but it started really well. It dragged me in, made me want to see what happened, gave me moment of revelation and then failed to conclude at all.
I was having the same problem with my vampire big bang fic a couple of weeks ago; it was missing a conclusion, but then I nattered to Soph about it and came up with a round off that had meaning.
Endings are hard, but rather important I think.