Technically there was an a sequel to Gone With The Wind: Alexandra Ripley Scarlett. And there was TV Miniseries made of it with Timothy Dalton and Joanne Whalley Kilmer. The fact that it came 55 years after the original book doesn't change the fact that you know in this case Hollywood could do something horrible.

My favorite films that never had a sequel include:

Memento (because technically the material was there for one)

The Usual Suspects: There was an opening with the ending

Erin Brockovich: She did do a lot of things after that one case.

LA Confidential: It was based on a James Elroy novel and he writes in the same unvierse

Slumdog Millionaire: Perhaps the heroes goes on Jeopardy next?

The American President: Andrew Shephard runs for reelection

A Few Good Men: Tom Cruise takes on another case

How many of these are satirical and how many are serious I leave to the reader but I thank the good lord that no one has ever tried. And let's count are blessing that Christopher Nolan, with the exception of Dark Knight, never makes sequels because with the open ending of so many of his films the possibilities are endless.