At the end of Brickworld Saga, both big bads have been defeated and all seems to be well, but then Scribe goes missing and the audience finds out that not only has big bad 01 survived yet again, but now he's possessing Scribe!
The "That Which Redeems" Story Arc from Sluggy Freelance ends with the Demonic Invaders being successfully repelled and Torg returning home safely ... but Alt-Zoe died in the process, an event that haunted Torg for quite some time afterwards. In fact, for bittersweetness perfectly encapsulated, take a look at the very last strip of the story arc (not counting the Dimension of Pain epilogue).
In Deviant Universe, the Omega Rising arc ended with the heroes' victory at the cost of every named character being erased from space-time, some of them permanently.
Never Mind the Gap ends with Mary, after being revealed as having been a robot all along, having her brain have to be formatted and restored from a backup, due to an accident. The reset wipes out her memories and personal development for the comic's entire run - which includes her relationship with Jim. But the final story comic suggests that Mary and Jim will start over and get back together eventually.
Most storylines in Glorianna are this type. For instance, in "The Hall of the Mountain King", where Glorianna manages to rescue the castaways, but the King himself remains behind, knowing he will almost certainly die.
In Queen of Wands, Felix and Shannon have settled into having a family, Seamus is finally moving on permanently from his limbo dance with Elaine, Angela seems to be finally maturing, Kestrel has grown as a person and is starting a new job... but the job is in Boston, half a country away from all of her friends; Angela's actions have irreparably damaged their friendship; and Seamus is moving to California, on the other end of the country. Felix and Shannon get to stay where they are— but their closest friend and roommate who they've lived with for years is gone, and while we know she visits, she likely never comes back permanently.
By its fans Roommates is infamous for its main Story Arcs having bittersweet endings. For example:
Such Stuff...: They escaped the Lotus-Eater Machine, but one of them almost lost his soul, and the previous villain returned thanks to a new one (the Monster Roommate's mother. That's a messed up family), who also decided to stay.
Kings War: War won. Villain defeated. They even managed to not end up in debt to a different one. But the Monster Roommate was seriously wounded, a little boy sacrificed himself, and they blatantly missed The Chessmaster manipulating from the background.
In The Art Of Monsters, Hui and Wu Huan are dead, but Wu Huan gets a nice job in the afterlife with a big, fancy hat. Hui is then reborn as a human, and the implication is that hopefully one day she'll be reunited with her master again.