In my experience this mostly applies to shows that are already completed.
But what I really hate about anime is when its really good (in your own opinion) and you get fully immersed with the world and its characters and then it comes to an end when you really don't want it to. I would say this can happen to any show or movie someone watches but to me I usually get this feeling when watching anime :O.

Just finished Eureka Seven after months of putting it off and I enjoyed it a lot. I would say I fall into this state where I can't get over the show until I watch something that is either on the same level or as good as what I watched previously.

For anyone out there one anime that really did this to me was Clannad and Clannad AS (if you haven't seen it I highly recommend it). I would say for about a good week I couldn't get over the story.

imo this probably happens to everyone when they watch something they like and then all of a sudden it comes to an end :O