I'm with you on the Hellsing / Incognito example. I've heard the story behind it and it makes sense why they did it, but it still doesn't make for a remotely satisfying ending.
I'm almost certainly in the minority here, but I'd also like to chime in and say that I didn't feel that the second season of The Big O lived up to the first. Too little of that fantastic noir style from the first season, and too many cliffhangers. I preferred the storytelling style in the first season, with its nice mix between self-contained stories and continuity, where the continuity was mostly subtext but still important to the overall impact of the show.