On the one hand, yeah, I agree there is an expectation that you have bought into the story arc when you buy that first book in the series. However, that is not mutually exclusive with the concept that there is an overwhelming sense of entitlement from some fans of successful book series (and TV, RPG series, etc. as well).
People love what they love and will want more of it. However, if an author loses interest in the storyline, does the author still owe it to the fans to complete the story? I don't think so. If the author is under contract with a publisher to complete X number of installments of a series, that is one thing, and yes, the author could very well be forced to continue with a story arc or world of his creation that he would much rather just drop. But if there is no legal contract, the author should either wrap it all up in a final installment, which would most likely be unfulfilling to the readers as the author no longer has a passion for the material, or leave it unfinished. Ideally in the latter case, they would allow another author to take up the mantle, if there is another author wanting to do so, but I don't think an author, or any other creative individual for that matter, should be forced into a position of feeling guilt or receive any abuse because some vocal folks "WANT MOAR NOW!!1!!".
KestrelZ also raises a good point as far as the George R R Martin example. In some ways, by agreeing to have the books adapted for the small screen, he has put himself in the position where there could be pressure from an external force that is not from an overblown sense of entitlement, but rather from a business arrangement that he may not be able to deliver on, resulting in either a premature end to the HBO series or content being created from outside his intended story arc.
EDIT: All that said, if an author or other creative type decides to abandon a project that has a loyal following, they should not expect all future endeavors to have the same results. To do so would be a sense of entitlement from the creative's side ("They loved my other stuff, they should love this stuff too.").