At the end of KateModern: The Last Work, the main characters celebrate with a party. Except Julia, who winds up pregnant with a trait positive baby that isn't even genetically hers, with her husband apparently dead, her source of money presumably gone as well, and her friends alienated. Poor Julia.
In the last episode of Red vs. Blue, they defeat Omega and Wyoming and tie up all the loose ends of the earlier time loop, but apparently lose Sheila, Tex, Andy, and Junior in the process.
The Recollection trilogy is even worse:
Reconstruction ends with the Big Bad seeming to have been defeated, and the Reds and Blues have new bases, but Alpha-Church is permanently destroyed, along with Delta, and Washington's fate is left ambiguous.
Recreation ends with Church having been revived in spirit as Epsilon, the return of Tucker, and one of the season's two big bads finally killed, but the Reds and Blues apparently have to fend off a force of aliens. Meanwhile, elsewhere, Agent Washington pulls a Face-Heel Turn and kills two major characters.
Revelation has Washington pull a Heel-Face Turn, and the Reds and Blues finally kill the trilogy's Big Bad, and all go off to continue their Red-Blue battles. Unfortunately, Epsilon is trapped in a powerless memory storage unit, unable to escape, trying to find Tex, though he seems fairly content with his circumstances.
The Freelancer Sage puts the Recollection to shame:
At the end of season 9, Epsilon is rescued from the capture unit, but he thinks it's the unit failing and finally comes to peace with Tex by "forgetting" her... only to discover it was actually a rescue attempt and now Tex may well be gone permanently.
Season 10 picks up where season 9 left off. The good guys win, but the final episode includes a seriously depressing reveal, an off-screen suicide, and two main characters leaving the others behind without saying goodbye.
Dr. Horrible's Sing-Along Blog ends with Dr. Horrible achieving his greatest ambition - getting accepted into the Evil League of Evil. However, while pulling the heist that put him on the A-list of villains, he indirectly caused the death of the girl of his dreams. The finale song shows the Dr. Horrible, all the good in him seemingly dead, gloating about his victory and warning the world that "now the nightmare's real". However, the last shot is that of Billy (Horrible's human alter ego), clearly lost and heartbroken, staring blankly at the webcamera.
Nuzlocke Comics invariably end like these, seeing as the protagonist would have lost many friends along the way. No matter how happy the author might try to make the the ending be, it will always be permeated by the feeling of loss and lonliness, both by the reader and the characters.
The Half-Life fan-film Beyond Black Mesa, ends with the transmission sucessfully going out, but Adrian and the remaining rebels blowing themselves up when they're cornered by the Combine.
While on the subject of TGWTG, To Boldly Flee ends somewhat bittersweet as well. Everyone is still alive and all the villains have been destroyed for good, but Spoony has lost his memory, Last Angry Geek is dead and the Nostalgia Critic, having transcended and become one with the plothole, is gone for good
I Love Bees: The assembled team seem to have saved the world and have been united with their family or otherwise reached a happy end despite their losses. And then the Covenant turn up.
Dragon Age: Redemption ends with the saarebas re-captured and his plans foiled, but the templar Cairn and Josmael's betrothed are both dead. Tallis kills the saarebas to avenge Cairn's death, thus failing her mission. Nyree even states that it doesn't feel like much of a victory.
Season 5 of Arby 'n' the Chief has the duo stop the wedding of Gaming Tycoon, Trent Donnovich, (after the latter was caught cheating on his fiancee and Arbiter's Girlfriend), but at the cost of Arbiter and Chief's only access to the outside world, Xbox-Live.
While not exactly being the end of the season itself, Kylie of Season 6 suffers one when she is banned by Arbiter and Chief and is stuck living with her father, who is revealed to be a cruel alcoholic, and is without any means of escape.
In Greek Ninja, the battle determining the fate of the world was won by mankind, thanks to Sasha, however Iphigenie was amongst the casualties.
"Shadows Of The Past" at the end of season one after the two assassins trying to kill them and a giant mech with a crazy A.I and a mission to kill all "idiots" within a hundred mile radius are defeated. Venus is accepted into their group as a friend despite her betrayal and everything is shaping up to be a happy ending. Until the box. Sage activates an ancient piece of technology that transports him to yet another unknown world where alternate versions of his "friends" knock him out and drag him away.
In Worm, Scion is defeated and Dragon is freed, but Taylor had to mind control thousands of capes, the whole world is in chaos, villains still exist, the rest of Scion and Eve's species is still out there, Taylor loses her powers and is trapped on a different Earth, and the Endbringers are still around.