On the contrary, I've felt that the anime I've watched has had many good endings, and one of the things I really like about the japanese mentality(at least in terms of animation) is that things are set out for a set period of time, and they end. Far too often in American media they go on without a set period in sight, and either get cancelled too early, resulting in no ending, or go on so long that the story is tainted and any ending is a pale remainder of how good the show was in its golden years. The X-Files is a perfect example of a show that went on far longer than it was supposed to and resulted in a very poor ending that did little more than rehash clips from the classic years of the show. (although I must say that there is one that stands out to me that breaks the mold - Seinfeld, which ended when Jerry Seinfeld could have easily sold out and gone on for a few more years, and had a great ending which brought a main theme of the series to fruition in an ironic manner) I can't speak about live action japanese shows as I haven't seen them, but that is one thing I really like about the majority of anime, that they have an actual ending that usually comes at a good point and wraps things up appropriately. It doesn't always result in a very well written ending, but is better than what seems to be the norm in America, no ending to speak of most of the time.
As for my favorite endings...
Cowboy Bebop
End of Evangelion
Space Runaway Ideon
Galaxy Express 999(the movie, haven't finished tv series)
Gunbuster
Serial Experiments Lain
Char's Counterattack
Mobile Suit Gundam
Fooly Cooly
And ones I don't like...
Evangelion TV
Candidate for Goddess
Outlaw Star