To first series to do this with me one Dragon Ball Z. Before you go wtf. I basically grew up with this series. Watching over span off 6 years. Seeing the end OF DBGT. Was just wow it ended. I actually missed it, while this is series you can consider as crap I have that kind of sentimental feeling with it. Naurto has a great chance to do it 2 and this series can even be considered good.
Yah Honey & Clover is probably on those few short series. That made feel emptiness. I just really really liked the characters.
AzuDaioh also did that to me. L*S didn't since I have yet to see their graduation and see them separated. Mind you at first I didn't even like AzuDaioh that much(I started to really like it after watching it a 2nd time), I even put it above School Rumble, but parting with characters made me feel so empty.
Now that I think about it Teknoman(tekkaman blade) did the same, maybe it was, because it was the first really awesome series I watched till end to finish. Since I was used to US series that never end it was not used to something so cool ending.
Btw though it isn't anime Friends did the same. =o