[rambling]
I know exactly how you feel,
Gurthang. For this reason I usually try to avoid the ending of movie RotK whenever we watch it again. It just makes me feel so...incomplete. Like "I know this is the end, but it just can't end like this. It's too depressing."
Perhaps the greatest cause of this melancholy - at least for me - is the (second) breaking of the Fellowship. They have endured tough times together and apart, and they certainly deserve to enjoy the fruit of their labor together! Unfortunately, I believe we have their "racial differences" to blame for their inevitable separation. They have their own lives to go back to, own ruins to rebuild, and own families and fellowmen to (continue to) nurture. In the case of Frodo and the rest, they have a ride to catch. As for me, well, perhaps I can go back to Mount Doom and re-take the Ring and start the whole thing all over again.
Another thing is that not everyone ends up happy, considering what evil they managed to escape what with Sauron not succeeding in taking over Middle-earth. Frodo, for one, is not completely happy; think October 6 (did I have that date right?). And I don't like anyone hurting when everyone's supposed to be happy. You deserve to be happy, don't you, Frodo?
It might seem a bit far-fetched, but this made me think about the kind of books we prefer to read. If, say, I'm a huge fan of fairy-tale, happily-ever-after endings, well, LotR is in some ways a tragedy. But if my melodramatic life urges me to find solace in tragedies, LotR is a fairy tale.
More likely the reality is that it's somewhere in between, or a different thing altogether.
But you're right, Gurthang. LotR had been a heck of a journey, and it's just hard to accept that the rollercoaster would end just like that. And the appendices, though helpful, is not exactly an adventure I could join them in.
[/rambling]