Ones that come to mind:
-The end Goodbye to All That by Marillion, from the Brave record. That last minute is so cool and has such a neat vibe, and instead of doing something more with it, it takes an abrupt turn and goes in Hard as Love, which bores me to tears.
-The 14-minute mark in Yes' The Remembering, from Tales from Topographic Oceans. This one literally irks me to the point where I never listen to the song anymore because it only reminds me of what could have been. It's like the whole song was a build-up to what should have been an epic keyboard solo, which we get a sense of for like 10 seconds, before the guitar decides to cut in and take over the lead, and then the section is over just like that to go into another vocal section. Tales is very much an Anderson/Howe record, and that is obvious right then and there. Major tease and woefully unsatisfying.
-DT's The Road to Revolution. Some would put to the end of A New Beginning as the bigger tease but no, for me, it's The Road to Revolution, which is way too short. That chorus is pure job, yet we only get it once in that song. I am aware it is heard in other places on the record, but I think that individual track got sold a bit short.