I'll be buying Blood Money when my exams are over.

Some of the best endings are Mafia, Outcast, Max Payne 2, Knights of the Old Republic and Eternal Darkness. All felt like a real closure, and were satisfying endings.

But the best finale has to be Prince of Persia: Sands of Time;
Spoiler Alert, click show to read: 
The point where Farah abandons you came as a shock, as was the loss of any weapon. But then you suddenly get a killer blade, followed by some of the best and most impressive platforming of the series trying to catch up with Farah. Then, she plummets to her death, in one of the saddest moments I can think of in a game. Although the endboss is a bit disappointing the final cutscene, where Farah doesn't remember the Prince at all, is perfect.

Absolutely an ending worthy of a good movie.

I'm a sucker for sad endings, and I wish more games would have one.