Chrono Crusade is a perfect example of an anime I really got into, and then the ending was completely S-T-U-P-I-D! Both main characters died together! And they didn't even want to die! You just absolutely hated the director of the anime, probably even the creator--if that was how it was supposed to go.
And Trigun! I love Vash the Stampede, but let's face it. If you pick up a manga book of Trigun, it starts out pretty solid, but it's obvious they rushed to end the anime because they ran out of plot!
And let's not forget Trinity Blood. I absolutely thought that was an awesome series--until it was obvious someone ran out of storyline once again. You never find out what happened to the blond priest's sister he spends the entire series looking for. And the fight between Caine and Abel isn't resolved. They just fly off at the end. And Esther becomes a princess, but who can say what she did to stall the fighting between the humans and vampires?
There. I just gave you three examples of anime series with great characters, but a thin plot with plenty of questions to be asked.