Ok first up we can leave Shenmue out of this and it has to be either the first in an announced series or canned so many games in with an unfinished story.
Too Human
[youtube]http://www.youtube.com/watch?v=Vb4bOeaQCeY[/youtube]
Supposed to be a trilogy [even says it on the damn box] and nearly 10 years in development on the PS2, Gamecube and then XBox 360 it was a science-fictional futuristic retelling of Norse mythology that portrays the Æsir, the Norse Gods, as cybernetics-enhanced humans, tasked with protecting mankind from the onslaught of Loki's army of machines.
Sadly mixed reviews hurt it, Pre order sales after the demo went over 1M but after reviews nearly half were canceled and the game ended up selling around 750k and then of course SK tried to sue Epic only to be sued in return for using the Unreal engine and trying to pass it off as their own.
Once you level up a bit its damn good fun and also has 2 player co-op but sadly its 4 player co-op was canned near release.
I would love someone to come in and save the project and finished it but sadly i would say we have 0 chance
Advent Rising
[youtube]http://www.youtube.com/watch?v=BKQu4IZDG0I[/youtube]
Now despite the bugs this game was awesome and again was supposed to be a trilogy but sadly it didn't sell as well as hoped and Majesco Entertainment found them selves in money troubles and changed their plans[currently having success with the Zumba games. Again i would love for someone to finish this but in its case they would need to remake 1 and give it a HD life and sort out the bugs.
Its creator is now one of the heads at Chair Entertainment [Undertow, Shadow Complex and Infinity Blade] so who knows maybe Epic could fund them and get them the rights to the series as Mustard still wants to finish the story.