The Adventures of Buckaroo Banzai Across the 8th Dimension
At the end of the movie we were promised a sequel, Buckaroo Bonzai Against the World Crime League. Nearly 30 years later, we’re still waiting. Or not.
Remo Williams: The Adventure Begins
And ends.
What else?
Are you distinguishing between “promised us a sequel” and “threatened us with a sequel”? 
Super Mario Bros. totally set up for a sequel at the end. Still waiting
Promised us a sequel, then failed to deliver, fortunately.
Spaceballs. Still disappointed in that. It could be Rick Moranis’s return to acting. 
Speaking of Mel Brooks, what about History of the World: Part I ?
Of course, that was part of the joke.
Green Lantern.
Oh, wait. It was the *first *movie that failed deliver.
I don’t know if Jay and Silent Bob Strike Back necessarily intended a sequel, but they left it ambiguous. Either way, no J&SB sequel yet!
Not that I wanted one because I hated the movie, but Golden Compass.
Similarly, the Lemony Snicket movie. There have been several attempts at starting film series based on children’s/young adult fantasy fiction book series, in an attempt at capturing the magic (and profitability) of the Harry Potter series.
Lord of the Rings
Push was supposed to be the first movie of a trilogy. The sequels were never made. (But they’re now talking about continuing the story as a television series.)
Hammer intended Captain Kronos to be a franchise but after the first movie with the character did poorly they never made any further ones.
Doc Savage: The Man of Bronze, with Ron Ely in the title role, included an announcement of a sequel, Doc Savage: Arch Enemy of Evil. Whether this qualifies as a promise or a threat, I refuse to comment.
The 1980 film Flash Gordon ended with a “The End?” and featured Ming laughing while a hand was shown picking up his ring of power.
Also, there were rumors of sequels to the original Star Wars trilogy, but none were ever made.
The 1998 version of Godzilla with Matthew Broderick was so setting up a sequel with its last shot.
Not that I’m complaining over them not making another.
The Chronicles of Riddick
Yes, I know they talk about it, but I’m not sure if it will ever happen.
Doctor Detroit: The Wrath of Mom.
I’d love to have seen that.
Also still waiting on Conan The King
Dead Men Don’t Wear Plaid, but that was probably a joke.
The Incredibles.
The Fantastic Four.
There was supposed to be a sequel to Dances With Wolves, although it wasn’t implied in the movie.
The novel (“The Holy Road”) was published, and supposedly the author wrote a screenplay, but when Kevin Costner wouldn’t take the John Dunbar role again, financing never happened and the project was shelved. It’s a shame, too… it would have been good.
I swear I saw an Airplane III promise at the end of the VHS tape we had.