I've been trying to find a series of books I read in middle school (~2001, though I have no idea when they were published but I vaguely remember thinking they were "old" books at the time, which could have meant anything from the 80s through 1999).
I remember reading at least 3 books by the same author that all had different characters and plots, but all involved people from our world finding their way into faery (it might have been called something different), and all ended on a cliff hanger (but with no sequel, they just ended). I believe that (like all proper fairy stories) faery was dangerous for mortals to enter and the characters were normally trying to find their way out or stay safe somehow.
In one of the books I have a memory of the characters being holed up in a cabin trying to avoid being harmed by something in the perilous realm (though I have no idea what it was they were worried about). A messenger from a nearby city (possibly on horseback?) had offered them sanctuary there from whatever it is that would have hurt them and they were debating taking him up on his offer, but for some reason they though that the price of admission to the city was to give up all free will (I remember thinking it was like the city in "A Wrinkle in Time" in this respect). In the end…
they decide to accept his offer and they enter the city. This is the end and you don't know if it was a trap or not.
One of the dangers in faery that I think was mentioned in multiple books are cigar shaped UFOs in the sky, though I don't remember what they were or why they were dangerous. I also have vague images of the characters on the shore of a windswept lake and the queen of faery or something along those lines living on the opposite shore, but I know it's not much to go on.
I remember thinking the author had a very distinctive name, and for some reason I want to say that it started with "L", but I may just be mixing it up with various Le Guin books that I read a few years later.