Unfinished Series

I'm not the sort of person who's entirely comfortable starting a series that hasn't been completed.  Many others seem to have no such issues, as demonstrated by the myriad people picking up books starting a new series within moments of them hitting shelves.  Myself, I usually only start an unfinished (non-open) series if the books are a gift or a loan.

I'm pretty sure it comes down to the fact that if I really enjoy it, I'm looking to see where it goes and to get some closure.  I don't have any problem with picking up books from an open ended series (Gor, Discworld) and reading them out of order.  I may have a slight preference for reading earlier works in the series before later ones, but not a strong compulsion.

At the moment I've got two unfinished series on the go, both unintentional.  Wait, that could be three if you count Rawn's The Ruins of Ambrai.  But given it's been 15 years since the second book I think we can safely discount that one.

  The first unfinished series I have going is the Penrose series by Tony Ballantyne.  I picked up the first book when it hit a mass market paperback on pre-order discount on the basis of a neat blurb and put it in the short list not realising it was part of a trilogy.  After reading several consecutive less than stellar books I needed something punchy, exciting and - above all - highly readable, so I grabbed Twisted Metal off the pile.  The book delivered the much needed invigoration to my reading, but towards the end I started to realise that the story wasn't really wrapping up.   Admittedly Ballantyne could have been taking a leaf out of Peter F Hamilton's book and leaving the start of the wrap-up for the final half a percent, but no, he's left it hanging for book two.
Penrose book two is already out (2010) and I've got a copy sitting in the short-short list, but I'm not seeing even a pre-order or title on the third book and the author described it late last year as "yet uncompleted".  Here's hoping it doesn't become a Captal's Tower.

 The second series I started accidentally was Hannu R's The Quantum Thief.  The book was getting some great press after its release and billed as Hard SF.  The novel itself is fantastic and flooded with killer concepts but again, upon reaching the end I found myself stung by the lack of closure.  Not too much, I have to admit, as a lot did wrap up, but it certainly had me scouring the net for more information on the trilogy.  Not as lucky here as I was with Ballantyne, as the second book is only due for release third quarter this year.

The question now is what to do about these series?
Well, specifically what to do about book two of Penrose.  I've got it lying around, and it's been maybe a year since I read the first book.  I thought maybe I'd read it about halfway between the first and the third book, but that's a little difficult to place, temporally speaking, when the third book hasn't been released.  Currently thinking about reading it soonish so the first one hasn't faded, with the expectation that the third comes out sometime next year so the second won't have faded by then.
The Fractal Prince, sequel to The Quantum Thief, I'll probably end up buying on release (paperback Octavo and HB will be published about the same time) and do a reread of the first book beforehand given the fact that you only start getting an idea of what the hell is going on when you're most of the way through.

And the above doesn't even touch on the issues of authors bringing out revised editions of their books (waves to Stephen King) or the fact that I'm actually considering reading A Song of Ice and Fire despite the series conclusion being perhaps a decade away...