Final Level: Departure
Why It Sucked: Once you've defeated the tornado of darkness (we can't believe nobody made a "WE'RE NOT IN KANSAS ANYMORE!" joke), a diving suit from Bioshock shows up to tell you that you have to stay in this cabin while your evil doppelganger fucks up your life in the real world. Even Stephen King could have written a more logical resolution than that.
How We Would End It: How about explaining why there's an Alan Wake lookalike named Mr. Scratch running around? Or letting us actually rescue Wake's poor wife? Or telling us why any of this is even happening? No resolution, no thank you.