I finished "Notes on a scandal" today and really didn't want it to end, wanted to know what would happen to the characters.
I always find "Gone with the wind" really frustrating, too.
And "Pride and Prejudice".
I just get into the characters so much that it seems unbearable to have to leave them, never to find out about the rest of their lives.
It's even worse when there are "sequels" to the books - they never live up to the original and don't satisfy that "craving" at all.