My nightmare scenarios:
George R.R. Martin buys it before finishing the Song of Ice and Fire series. I know Book 4 is coming out soon but that’s not the end of the series, is it? There’s at least, what, another book or two?
Also, JK Rowling and George MacDonald Fraser.
Which are the others?
Dunno if it was abandoned or interrupted by death, but if Zelazny ever finished off the storyline started in “Changeling” and continued in “Madwand” I never heard about it.
How about The Canterbury Tales?
Edgar Rice Burroughs’ last John Carter story definitely ends in the middle.
In the realm of mystery detection, death has not been an obstacle for several authors of series characters. Agatha Christie had two novels prepared long before, to be published after her death. Curtain in which she kills off Hercule Poirot and a Miss Marple novel. And there have been recent novelizations of some of her plays (or perhaps drafts of plays, I forget the details.)
And, of course, we have Wossname Goldsborough writing four or five stories about Nero Wolfe after Rex Stout’s death, and there have been two Peter Wimsey novels fairly recently (long after Dorothy Sayers’ death), based on her notes.
Of Fraser I will say as Spock said of “Flint” (Requiem for Methusaleh): “That day, I shall mourn” - but the Flashmans stand pretty well by themselves, each being a random dip into a portion of the anti-hero’s long and eventful life. I’ve read them all, or just about all, and I’m not hungering for some plot threads here and there to be tied up - which is just an emphasis of how well they work individually rather than as part of a series, and not to damn with faint praise.
Rowling, on the other hand, is a one-hit wonder who got indescribably lucky, far out of all proportion to the merit of the books. An okay writer, but dollar-billionnaire okay? :dubious: There are some authors about whom I have dreamed of their writing another book in a series, but JKR doesn’t make the list.
Besides, there’s little danger she won’t live long enough to write one more HP.
Most of the ones I’d mention have already been given. To this I’d add that several authors left notes for incomplete or even not-begun works that others finished. Robert E. Howard left a few Conan synopses (that L. Sprague de Camp wrote up in the 1960s-1970s Lancer seeries, and which Del Rey books has finally published in their oruiginal form,).
Edgar Rice Burroughs left notes for a final Tarzan adventure that was completed about 10 years ago by someone else.
The work is called “Exit.” McBain started writing a series of 87th precient novels with one word alphabetical titles back in the sixties (take that, Sue Grafton). He purposely left out “E for Exit,” the mystery to be published after his death.
The series titles, if you are interested are (so far, and I hope he finishes them):
Ax
Bread
Calypso
Doll
E (Exit)
Fuzz
Ghosts
Heat (Hark!)
Ice
Jigsaw
Kiss
Lightning (Lullaby)
Mischief
Nocturne
O
Poison
Q
Romance
Shotgun
Tricks
U
Vespers
Widows
X
Y
Z
Lord Demon was one. Zelazny’s style was diluted somewhat. I liked it a lot, not despite that fact, but because of it. 
I believe that Thucydides died writing mid-sentence in “The History of the Peloponnesian War.”
Raymond Chandler died before completing the last Philip Marlowe novel, Poodle Springs. It was finished, years later, by Robert B. Parker. For some reason I’ve never wanted to read it, despite being a big fan of Chandler. It just wouldn’t be the same . . .
There is confusion about which of V C Andrew’s books were written by her and which were written by her ghost writer after she died.
Not that I would ever read such trashy novels 
Oh, it is going to happen. HUNTERS OF DUNE and SANDWORMS OF DUNE will be based on FH’s notes for a 7th novel.
I think that was one of those “Sequels you’ve decided don’t exist” things.
Giacomo Puccini had not quite completed Turandot before he died. His friend, director Arturo Toscanini, prevailed upon his pupil Francisco Alfano to finish the score, but Toscanini would never conduct Alfano’s parts, supposedly telling the audience “the opera ends here, because at this point the Maestro died. Death was stronger than art.” Other stories have him simply saying “Here, the Maestro laid down his pen”.
Although you’d have to add the prequels that we’ve decided don’t exist to it as well. It’s really the only way to keep Dune fans out of jail for murder…
I like a lot a comic the name of will ring no bell to non-french ears (Sambre). The first tome, that I enjoyed enormously, was published in 1986. Since then, I’ve been waiting for the following tomes. The author didn’t give up. The 5th one has been published last year, so that’s roughly one tome every four years, and I would guesstimate he’s half-way through the story.
So, at this point, I’ve been waiting for 20 years and it should take another 20 years or so to know the denouement (assuming that nor the author nor me kick the bucket before)…
I don’t know if they qualify, but Jane Austen had two unfinished novels going when she died. Perhaps she had put them away early with no intent of ever finishing them, but they are still Jane Austen, and Jane Austen was to the English language like Mozart was to music. They are:
The Watsons and
Sanditon
It’s heartbreaking to read them and have them end abruptly just after development of the main characters.
The author of the adventures of Tintin, Herge, died while working on an
adventure titled (in English) “Tintin and Alph-Art”.
He didn’t get very far but they published his preliminary drawings anyway.
I don’t think his widow knows how the story was to have gone, so it’s lost forever.
F. Scott Fitzgerald died in the middle of writing The Last Tycoon. In high school, I read a version that contained the parts he had written and synopses of the notes he’d left about the rest of the plot.