some times in some few games... but lucky for me in games and movies, after like 3 or 4 months i don't remember most of the story details and stuff... only thing is stuck at my brain is matrix trilogy (seen it many times to forget it), i have seen i am legend 2 times and the second time i didn't remember squad... its like i have some type of fish memory or something! things don't stuck here for nothing... witch its good because my games have lots of replay value!

I got the feeling after playing Oblivion, gave up 200 hours of my life and then it was over, that sent me on a frenzy to look for a similar game (Fable 2) and nothing could satisfy me.

Also got the feeling at the end of Bioshock 1 + 2, MGS4 and Pokemon Gold.

The 'empty feeling' is much worse with book's though, you read a series for ten years and it just end's, with no hope of a next installment (Harry Potter, Darren Shan).

Every once in a while like FF12 for example

i play the game again to diminish the empty feeling xD

I know that feeling very well. It happens a lot of times when I've just played a game that was really good. You feel accomplished and very happy that you got to experience something really special, but then part of you is left feeling sad because you know its over. The most recent game I've felt that way about was Mass Effect 2.

I also get this feeling from other media as well such as novels and anime series, etc.  

Not really. My favorite games tend to have either huge replay value or massive post-game content. I could care less about story most of the time because they are usually so bad, so there's nothing to really get attached to that's going away.

Yes.. and mostly at such moments I consider going back to a MMO (because it never ends).. but in the end they just end up not good enough

If your talking about that same feeling you get when you leave the movie theatre after seeing an awesome movie then yeah I get that too. I had that with the MGS games.

Always.

Sometimes. It's what happens when something you've invested in emotionally comes to an end. Bitter and sweet at the same time.