Some great series with a few books:
Science fiction:
Ann Leckie: Ancillary Justice, triology. The protagonist used to be an AI controlling a huge spaceship and thousands of soldier units (made from prisoners of war). When the book begins the ship is gone and she has just one soldier unit left.
Kind of thriller/horror (but also really funny, in between all the horrible stuff happening):
Sarah Rees Brennan: Demon's Lexicon. Nick and Alan are brothers, and have been on the run from magicians their whole lives. But when a demon marks Alan, they have to stop running.
Sarah Rees Brennan: Lynburn Legacy. A gothic novel, about what happens when the manor family returns to the village Sorry-in-the-Vale. And why Kami's imaginary friend maybe isn't all that imaginary after all.
Both these are triologies, and both have cliffhanger endings in at least one of the books.
Here's a
short story from the Demon's Lexicon universe (a prequel), so you can see if you like her way of writing. (Note: She has more short stories on her website, but a lot of them are spoilery.)