Ambiguity. Some books have it, others don't. There are places where something is omitted but you can easily fill in what happened, and there are others where you can't be as sure. Some examples (these may contain mild spoilers):
"The Lady or the Tiger?" If you haven't read this, go do it now. It ends with a classic cliffhanger. This is the type where you have to decide what happened yourself.
Alphabet of Thorn (Patricia McKillip). Nepenthe*'s real name is important to the plot, but the book never spells out what her name actually is. For that reason this is the first and last McKillip book my sister read; she couldn't stand not having every detail revealed. Almost every book has some loose threads, but not usually something that says so clearly, "I will never tell you."
Laurie King's Mary Russell books**. Aside from plot points, there's a stylistic technique here where one character has a long paragraph of dialogue and you have to fill in other characters' responses from what the single character says. This is usually fine and cuts down on tedium when you know what the responses are, but sometimes it leaves you wondering.
So: what are your favorite examples? When does the art of omission drive you crazy, and when does it make a book (nearly) perfect?
* Nepenthe is related somehow to opium, I believe.
** These are strangely addictive: I'm in the middle of my fifth one and I couldn't tell you why I keep reading them, except that for some reason I really want to find out what happens.