Actually, now it kind of clicks: Serial stays interesting because the killer might not be a killer, and because the impartial narrator is one of us and a character in her own right. So maybe it shouldn't bother me when we get to the end and (spoiler alert?) there's no catching of the baddie, and all of the loose ends are still loose.
I think the reason it does is just that I want more story, and since you can't even write fanfiction for cliffhangers from the real world, we're never going to get it. When I heard there was a second season I assumed all my prayers had been answered; not sure why I didn't realize that it wouldn't be the same case. I might download it if I can't solve my audiobook dilemma, but not until the season is all out.
The dilemma I really want solved is who killed Hae Min Lee. Today I listened to absolutely nothing on the bus and I'm all disconsolate and I had to skip breakfast. (That's not related, it's just part of the day I'm having.)