As a small preamble, el Cliff posted in the comments of my last post something to the effect that fantasy authors never finish their series. I realize there is a lot of rambly fantasy that seems like it never gets finished but I felt the need to defend my chosen genre and come up with a list of completed fantasy series that I have really enjoyed. I was going to leave this as a comment but it makes more sense here. Also, the best fantasy ever written, The Wheel of Time, will be complete by Christmas 2009.
Robin Hobb has a fantastic character-driven fantasy. It's actually split into three trilogies. The first trilogy is the Farseer Trilogy which comprises Assassin's Apprentice, Royal Assassin and Assassin's Quest.
The second (and far less necessary - since it doesn't deal with the main characters from the first one) is the Liveship Traders. I call it less necessary since I haven't read them yet. Those ones are Ship of Magic, Mad Ship and Ship of Destiny.
The final (and maybe best) trilogy is the Tawny Man trilogy. It's got Fool's Errand, Golden Fool and Fool's Fate.
The Deathgate Cycle is a really well-done fantasy by Margaret Weis and Tracy Hickman. There's seven or nine books in that one.
Terry Goodkind finally finished off his Sword of Truth series, though that's not a very notable accomplishment considering the last four weren't very good.
Stephen King's Dark Tower series is amazing and complete.
Philip Pullman's His Dark Materials trilogy is amazing and complete.
Harry Potter by J. K. Rowling is finished.
The Chronicles of Narnia by C. S. Lewis are very good.
The Chronicles of Prydain by Lloyd Alexander have been around forever. That doesn't necessarily recommend them but they're finished. And I like them a lot (despite the fact [or maybe because of the fact] that they're aimed at a younger audience).
There are at least two complete Thomas Covenant series by Stephen R. Donaldson.
There are a couple of series by David Eddings: The Belgariad, the Mallorean, the Elenium and the Tamuli. Probably it would be best to read them in that order (definitely Belgariad before Mallorean and Elenium before Tamuli). Raymond Feist has written a few dozen books as well and while he's still putting words to paper in the same world as always, they're generally closed series so you can read one and get closure.
L. E. Modesitt Jr. has a series that he's been working on forever, the Recluce saga. It sounds like an interminable series that will never end but the first five (is it five?) are their own contained series. Let's see: The Magic of Recluce, The Towers of Sunset, The Magic Engineer, The Order War, The Death of Chaos. I think that's all of 'em.
John Marco wrote a series called something like Tyrants and Kings. It's a little simplistic but reading his battles was fun. It's pretty good and complete.
So, yeah. There are a lot of series in fantasy that don't seem to be going anywhere. But there is a lot of good, some great, and some that has changed the way I looked at the world.