Chicago takes place in a completely corrupt world, where love and decency exist only to be taken advantage of. The only good character is Amos, whom absolutely nobody respects. Of all the women on death row, the only one who is executed is the one who is innocent of the crime she was convicted of. Meanwhile, the corrupt lawyer Billy Flynn uses perjury and other underhanded means to get two unrepentant murderesses out of jail.
Jerusalem from Jesus Christ Superstar is usually shown to be a downtrodden city ruled over by the Romans, who are usually depicted as having taken quite a few lessons from Those Wacky Nazis or a completely corrupt priesthood that is hellbent on seeing Jesus die. The rest of the people of Jerusalem, as evidenced from scenes in the play including the cleansing of the temple, are pretty wretched, as well.
There's a hole in the world like a great black pit, and the vermin of the world inhabit it, and its morals aren't worth what a pig could spit, and it goes by the name of London. At the top of the hole sit a privileged few, making mock of the vermin in the lower zoo, turning beauty into filth and greed. I too have sailed the world and seen its wonders, for the cruelty of men is as wondrous as Peru. But there's no place like London!
Oz in Wickedisn't quite as bad as in the novel but it's still ruled by a Villain with Good Publicity who lies to half of his citizens and oppresses the other half. The only person who tries to oppose him, Elphaba, is so messed-up and bad at being good that she becomes a terrorist, loses her only friend, turns her lover into a scarecrow in a bungled attempt to save him, and ends up having to fake her own death and flee Oz after accomplishing nothing. However, there's something of a Bittersweet Ending, as Glinda is still there. The problem is, she's now a Stepford Smiler whose previous position entailed only "officially being Good", so she isn't having an easy time transitioning to actually fixing the realm.
Urinetown: The Musical. A twenty-year drought has caused a terrible water shortage, making private toilets unthinkable. All restroom activities are done in public toilets controlled by a megacorporation called "Urine Good Company" who charges people to use the amenities to control water consumption. There are harsh laws ensuring that people pay to pee, with lawbreakers sent to a penal colony called "Urinetown", never to return. Turns out that there is no Urinetown, they just throw people off buildings and kill them. And then at the end after the people over throw the corporation and take control of the toilets, just when you think that everything's turning around, the town's limited water supply quickly disappears. As draconian as the UGC's rules were, they kept the people from squandering the limited water supply. So now much of the population dies of thirst. Little Sally: "What kind of musical is this?! The good guys finally take over and then everything starts falling apart?"