psych.

You know what I hate more than an unhappy ending?  An ending that never happens.  Or an ending that is the only thing that happens.  Why the hell would anyone think that that is a good way to end a movie?  Sure, you have that moment of revelation where you find out what has actually been going on, but usually, for me, at least, that moment is followed by frustration and intense dissatisfaction.  "Hey, here's a twist.  You know how you just spent the last 2 hours watching this movie?  Yea, none of that actually happened.  Hope you liked it!"
Excuse me?  the hell is wrong with you?

Christian Bale as Patrick Bateman in American Psycho (2000)

*SPOILERS

I watched the movie American Psycho for my psychology class yesterday, and the movie was going well; I had heard good things about it, and watching Patrick Bateman (Christian Bale) and his psychotic nature was fairly entertaining, and a little funny (although it kind of ruined Batman for me...).  But when you find out at the end that basically the whole movie was just a figment of Bateman's imagination - what you see him do is actually just what he wants to do, and the extent of Bateman's actual activity in the movie turns out to be him drawing like a maniac in his planner about the things he fantasizes about.  Lame.

Jude Law as Remy in Repo Men (2010)

*SPOILERS
Same with the movie Repo Men, starring Jude Law.  There is a point halfway through the movie when everything that happens from then on is a dream.  What a waste of time.  It's not like these movies are real anyway, but to find out at the end that the final half of the movie didn't happen is quite frustrating.