We know the story: Boy meets girl. Boy and girl have wild, passionate sex. Boy and girl live happily ever after.
It's a little frustrating to get to the end of Lady Chatterley's Lover and realize that there's no happy ending. There's not even a tragic ending; there's just no ending at all. We don't even end with the narrator's story—instead, we stop with a long letter from Mellors. Seriously, what's up with that?
Let's tackle the Mellors problem first. He's a bit of an Author Avatar character, basically functioning as a mouthpiece for Lawrence to spout off his ideas. (See his "Character" analysis for more on that.) So, by ending with Mellors's letter, Lawrence gets to back off from the whole "omniscient narrator thing," which is kind of a relic of the 19th century, and do something a little more modern and cool. At the same time, since Mellors is his fictional avatar, he still gets to have the final word.
And now for the spectacularly deflating non-ending. Are you feeling confused? Frustrated? A little mad that you read that whole book just to find out that nothing happens?
Welcome to modernity.
Those feelings—confusion, frustration, the pervasive sense that nothing really matters—are all hallmarks of The Modern Condition™. By not really ending, Lawrence is forcing you, the reader, into the position of the characters: not sure what's going on or how things are going to end. Check out Connie's mental cry of despair when she realizes how utterly dreadful life with Clifford is: "Nothingness! To accept the great nothingness of life seemed to be the one end of living. All the many busy and important little things that make up the grand sum-total of nothingness!" (5.148).
So, if you feel like you've wasted your time with this book, that it's just a bunch of people doing things with no real purpose, congratulations: you get it. With the breakdown of the social structures of aristocracy, marriage, and even nationhood, there's no clear path for people to follow.
And, evidently, no clear path for novels, either.