The first ending we see is the ending of Isengard. The trees and waters surrounding the fortress have won the day. Merry and Pippin find some food and, more importantly, some pipe weed. All is good and happy; the best kind of ending.
Then we see Gandalf and Aragorn and company on horseback outside of Helm's Deep. Their armies have defeated the hordes of Saruman's orcs. But as the sun sets there isn't only a sense of victory, but also one of unease. Gandalf knows that Sauron has is huge, fiery eye set on Minas Tirith, the last bastion of free men. Their hope no longer resides in their own strength, but in the courage of two hobbits.
Cue an uplifting ending shot: Sam and Frodo, two lone hobbits pitted against the harsh world, trekking through the hazards of Middle-earth, arm in arm. With hope in their hearts and strength in their hairy feet, they—
Wait, that's not what happens? No; instead we have Gollum: a broken creature more fractured because of Frodo's betrayal at the sacred pool. It seems his alter ego is back in full force, any love for "master" is replaced by the desire to "wring their necks" and take back the precious which he so longs for. "Too risky," he thinks, "the fat one, he knows. But she could do it."
Umm, who is "she," exactly? This isn't the happy, upbeat ending we deserve after a grueling movie of war. As Gollum leads them through the woods, with a new anger in his heart and a new, devious plan in his head, we can only image who "she" is… and what horrors could possibly be in store for the hobbits.