If you don't know you're watching/playing/reading the first part of something, To Be Continued is by far the worst. It's as unsatisfying as it gets.
Spoilers for a GBA RPG below.
Golden Sun would be a great example - I wasn't particularly enamoured with the game anyway, but there was one boss battle where I thought "finally, the game's starting to get good!" - and naturally that turned out to be the final boss battle, and the game ended with the plot horrifically unresolved. Maybe it was widely known it was part one of a story, I don't know, but I certainly wasn't aware of it when I played it and it soured my whole impression of the game (which wasn't that high anyway).
So yeah, I don't mind as long as it resolves well.
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James - Board 8's Resident Warm And Safe, Slipper-Wearing User
& The Cream of Porcupine Tree Fanboyism