Nim's Island. I was waiting for a big escape-from-the-volcano finale (Jodi Foster trying to come up with how someone survives falling into a volcano, coupled with the smoke rising from the until-then "fake" volcano on the island, adding up to...nothing!), but didn't get it. I'd love to see a sequel explore that.
Also, it's not really a sequel kind of movie, necessarily, but if orchestrated right, Kate & Leopold could have a good follow-up.
And finally, am I the only one just a little bit bugged by the complete and utter lack of closure to the five stories of The Dead Girl? From Toni Collette's creepy relationship with Giovanni Ribisi, to Mary Beth Hurt's cover-up cliffhanger, to just plain wondering what happened with the titular girl's mother and friend, it was half of a great movie, but no conclusions whatsoever.
"...and your last thought is that you have become a noise...a thin, nameless noise among all these others...howling in the empty dark room"
--Ulver, "Nowhere/Catastrophe"