It is an interesting factoid that Plato appears to have written two "incomplete" trilogies: the Timaeus, Critias, and "Hermocrates" trilogy and the Sophist, Statesman and "Philosopher" trilogies. In both cases the trilogy is announced in the first dialogue of the series - the Timaeus appears to promise a Hermocrates, and the Sophist a Philosopher (a promise reiterated in the Statesman). In both cases a "third" dialogue also appears as a sort of prequel to the incomplete trilogy - the Republic in the Timaeus-Critias-Hermocrates sequence and the Theaetetus in the Sophist, Statesman, Philosopher sequence. In both cases, the prequel does not belong to the "announced" trilogy, though it frames it or motivates it in important ways. (See the post below). What are we to make of this? What are the odds of Plato starting two sequences of dialogues with this structure, and leaving both incomplete?
The question has generated a fair amount of idle speculation. Older mainstream scholars mostly waved it away, often simply asserting that Plato must have planned to write them but for whatever reason did not. Typical in this respect is Campbell (1867, p. iv; cool link to the entire text of Campbell's book, which is out of copyright!), who thought that Plato abandoned the project after he realized that it was not possible “in the infancy of science.” Similarly Owen (1953, p. 81 - JSTOR link), who, in the course of his argument for dating the Timaeus earlier than the so-called “critical” dialogues, argued that “the Timaeus and its sequel or sequels were designed as the crowning work not of the latest dialogues but of the Republic group. The project was abandoned from dissatisfaction with certain basic theories, and in the first works of the critical group Plato dropped the confident didacticism of the Timaeus to make a fresh start on problems still unsolved.” (Owen does not – and on his own terms, cannot – account for the missing Philosopher in the same way). This is sort of the "null hypothesis" in thinking about the missing dialogues: it attributes the reasons for the incompleteness of the trilogies to external factors, such as Plato's loss of interest in them.
Later, more drama-aware (or should we say “dramatically aware”?) scholarship has often moved away from these purely “external” explanations and has sometimes sought to find both dialogues (but in particular the Philosopher) somehow “within” their respective series, or, as Voegelin (1987/1956, p. III.142), puts it, “as part of the internal meaning of the dialogues;” already Heidegger (1997/1924-25, p. 169 [246 in vol. 19 of the Gesamtausgabe]), ridiculed those scholars who persisted in thinking that Plato really intended to write a dialogue called the Philosopher, as if he were “a grade-school teacher ... bent on composing a trilogy” Heidegger thought the Philosopher was to be found in the Sophist; more typically commentators have suggested that the Philosopher is to be found in both the Sophist and the Statesman.
The Timaeus-Critias-Hermocrates sequence is a harder case than the Sophist, Statesman, Philosopher sequence, since the Critias really does look unfinished, stopping in the middle of a sentence. Ausland (2000 pp. 194-198 - JSTOR link), and Voegelin (1987/1956, pp. III.183-184 and chapter III.5 more generally) both argue for the thesis that it was Plato's intention not to complete the dialogue: what Zeus was about to say at the end of the Critias has in a way already been said. More recently Nesselrath (2006) has apparently argued the contrary position (I have not read the work).
The arguments for the "internal" completeness of the sequences depend, by contrast with the "null hypothesis" on internal reasons - about the coherence of the texts. But might one not add a probabilistic reason? What are the odds, really, of Plato embarking on two unsuccessful bouts of trilogy-construction, in both cases with a fairly similar structure? It's not as if there is external evidence for the view that Plato abandoned both projects. I suppose that in both cases one could argue that the Philosopher and the Hermocrates simply were too hard - but their hardness could not have escaped Plato. Perhaps one should rather take the incompleteness of the sequences as evidence of the unsayability of philosophy or of the best regime in motion? But why couldn't it be evidence of a Platonic purpose to create "exercises for the reader"?
If we accept the incompleteness of the sequences as challenges for the reader rather than as evidence of Plato's lack of interest or inability to complete them, lots of things become clearer. For example, it is clear that the philosopher is to be sought in the difference between sophist and statesman: philosophical practice being in-between these two.