What Kyle said.

It really depends on the game as to whether I leave the session on a cliff-hanger. Games like Deadlands and 7th Sea thrive on cliff-hangers whereas a more sombre game doesnt, e.g. Legend of the Five Rings.

Sometimes I will end the session on a semi-unplanned cliff-hanger and then surprise myself by adding an extra element I hadnt thought of just to keep me, the GM on my toes.

I agree with Kyle.

Generally, the sort of cliffhanger I like is what I like to call a Big Reveal, as opposed to a sudden outbreak of violence or immediate dangers to the PCs (after all, as someone pointed out upthread it sucks to kill off a PC in the opening minutes of a session). A sudden revelation of important information is a cool way to end a session - the players can froth and speculate about the consequences and implications between sessions, which builds up the anticipation for the next session.

Good in moderation.

In the D&D game I'm playing in now, we just had a major battle, everyone is exhausted and nearly dead, and the most powerful member of our group has been captured and dominated by a vampire and is coming to finish us off. The GM smiled and then left on a week-long trip to Japan the next day.

No one really knows how we're going to get out of the situation, but we're all eager to see what happens, and so the cliffhanger definitely works.  

Unfortunately, what almost always happens in our game is the GM sits down at the beginning of the session and says "okay, well, we're at the same place we left off, what do you want to do?" No recap, no introduction, we're just expected to hit the pause button on our imaginations. This really doesn't work for me, and is my primary gripe with the execution (not the principle) of cliffhangers.

I tend to do cliffhangers based purely on gmae time limits.

I don't tend to run more than 3-4 hours, I'll try to finish a combat if it's started, but if one is about to start near the end of playing, I'll end the game and begin the next one with "roll for initiative!". That's about as close to a cliffhanger as I get.

I use them all the time.