I'm always sad at the end of things. In college at the close of any play I was involved in I'd always fall into a depressed, melancholy mood for about a week afterward.
Same holds true for movie franchises, TV series, and especially book series, which have demanded the greatest time investement.

Sadness through the years:
TV: Battlestar Galactica, Lost, Friends, Seinfeld, Cheers, XFiles
Movies: Matrix, Lord of the Rings
Books: Lord of the Rings, Malazan Book of the Fallen, Mistborn, Deathgate Cycle, Alvin Maker, Prince of Nothing, Narnia, Harry Potter

I think I mourn the loss of familiar characters and the departure of the world I'd been living with for hours or weeks or years.