The person who described that feeling of 'emptiness'--yeah, that's what I feel. Not so much sadness...especially when I've been having so much fun with the characters, and they have to go. It's like your little visit to your friend's far off country is about to end, but you don't wanna go just yet.
K-On!'s first season had me like that. The scene of the door of the music room and the camera moving away from it...I was like, "but they're still there! Wait!" Glad there's a second season!
The end of Simoun had me like that too...wondering what was really the deal with Nevirill and Aaeru dancing in shadow...where they alive? Where they ghosts? Tell me more!!
Nana - it's sad when you KNOW there's a lot more going on, but they won't tell you.
And any anime that has a "happy ending" never seems to be happy enough! (Kimi ni Todoke, Sasameki Koto, etc.)
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MadPanda...(or maybe I'm just greedy)...