Not really, I get a feeling of accomplishment.  The only time I imagine that happening is if the ending is unsatisfying or doesn't really resolve the plot.  Like Lost.

Yeah..I got that feeling after I finished watching Death Note.

Lost, West Wing, Wire (though I will definitely watch that through again and it will still be as amazing) and Harry Potter from outside gaming

When I finished Uncharted 2 I had the same feeling, because I just felt no other game could really compete with Naughty Dog's masterpiece and nothing has yet changed my mind on that matter

I only get it when I complete a game with little or no replay value.

...I rarely get this feeling.

How did I forget Firefly? I didn't watch it until just last spring and so I knew the show got cancelled before it got to hit its stride so I felt hollow after finishing the season. I still haven't seen Serenity so I guess there's still some life left in it for me.

Halo Reach...

When something is really awesome then yeah I can get disappointed.  I think it's quite common actually.

Most recently it happened when I was about to finish Dragon Age: Origins, and also when I was watching the last episode of the Last Airbender.

Though, there's plenty of good games to look forward to.

I get it quite often with games and to a lesser degree with tv/anime.  It generally tends to happy to single player focussed games, I didn't get it with Tatsunoko vs Capcom and probably won't with Blazblue, but did with the Dragon Quest's and such.