Jake from Animorphs falls into despair when his parents are infested. And then it gets even worse when Rachel and Tom die.
High Lord Kevin falls into despair in the Back Story of the Chronicles of Thomas Covenant and renders most of the continent unlivable for centuries with the Ritual of Desecration. Think of it as the fantasy equivalent of a huge nuclear bomb. This solved the problem of the Dark Lord that was winning the war but at the cost of everything Kevin was supposed to preserve. And the Dark Lord turned out to be only temporarily inconvenienced, being immortal and all...
Later on the Giants of Seareach meekly let themselves be murdered out of horror over what had happened to some of them.
Still later Trell despairs also and commits his own Desecration luckily on a much smaller scale than the original, so the damage is limited. His sanity doesn't survive it.
This is a central theme in the Chronicles; it's the chief weapon of the villain, Lord Foul, whose whole objective seems to be pushing every single person in the world over their personal Despair Event Horizon. Indeed, every inhabitant of the Land swears an Oath of Peace which amounts to saying, "No matter what, I will not cross the Despair Event Horizon."
Covenant himself comes very close to the Despair Event Horizon at the end of The Illearth War, when High Lord Elena, his daughter, dies in the struggle with High Lord Kevin's specter under Melenkurion Skyweir. Fortunately, Foamfollower is there to pull him back from the edge.
Denethor in J. R. R. Tolkien's The Return of the King has been sinking into despair for a long time, and finally snaps when Faramir is critically injured during the Siege of Gondor. In his madness, he proceeds to try to immolate both himself and his son on a funeral pyre, but Gandalf and Pippin stop him before he can put Faramir to the torch and Denethor is subsequently burned alive. The book is more explicit than the movie in mentioning one important factor in Denethor's despair: he had long used his own Palantír (seeing-stone) for gathering information, but the Palantír also provided a direct channel for Sauron to break Denethor's originally-formidable determination by showing him the military power of Mordor and (something that's rarely noted) making Denethor believe that Sauron had obtained the Ring.
A Song of Ice and Fire: In A Storm of Swords, Catelyn Stark goes into the Red Wedding, having lost her husband, one daughter hostage, the other missing and suspected to be dead and believing two of her three sons are dead. So, when eldest son Robb is cut down before her, she completely fucking loses it, clawing at her face and laughing hysterically even as her treacherous bannermen round on her. When she's later brought Back from the Dead, well... she hates. Constantly.
Room 101 in general is designed to make someone cross the Despair Event Horizon, by using whatever the person fears most to make them betray whatever is most important to them after first wearing them down with a long period of torture.
The ghosts of all his murder victims attempt to do this to Shakespeare's Richard III before the Battle of Bosworth, conveniently Lampshading it with the phrase "Despair and die." It doesn't really work because Richard is such a Magnificent Bastard as to be beyond all shame.
The Warhammer 40,000Grey Knights novel Hammer of Daemons has an Imperial Guardsman say that many of his comrades "finally lost the will when they" saw Alaric fighting as if a Chaos warrior.
The titular hero in Devdas loses all hope after Childhood Sweetheart Paro marries someone else. Made worse by the fact that it wouldn't have happened if he'd been able to stand up to his father. And it gets worse.
Most of the 12th Book ofThe Wheel of Time is about RandAl'Thor reaching this point. When he does reach it, he comes within seconds of just wiping out all existence (or as much of it as he can manage, which is a lot as he was enhancing his power at the time) as it is all pointless, in a lovely Nietzsche Wannabe rant. He gets better, and the wise, calm and near saintly Rand that emerges at last seems like The Chosen One to hope for, rather than the only option.
It's implied that Rand's Evil Counterpart Moridin crossed this long ago; faced with the idea of Eternal Recurrance, he decided that destroying the world was a kinder fate. Pretty much confirmed in the last book, which shows that Moridin is a full-on Death Seeker who can't bear the though of existing any longer as someone as horrible as himself, and he intends to drag the world down with him. He gets what he sought, but the world is spared.
From Oleg Divov's Night Watcher, with a strong helping of Tear Jerker: Igor Dolinsky's lover was turned into a vampire. He didn't know it, and so, vampirism being a STD, he became a vampire himself. This led to a series of strange uncontrollable outbursts on his part, during one of which he raped his wife and tried to start a chainsaw massacre in the town (he was stopped in the nick of time). Realizing that something strange had happened to him, he resolved to combat it by tying himself up in the basement during full moons - and his amazingly dedicated wife helped, causing him to appreciate her more than ever. Only, as his condition got worse, he became alternatingly lethargic or dangerous - and thus tied up - for months at a time, and so wasn't there for her when his wife inevitably became a vampire from the rape too. Eventually, he successfully overcame his vampirism, only to discover that his wife had irrevocably embraced the vampire lifestyle and the only way to save her was to make her a Master, which meant that they would never see each other again, not that she could bring herself to care about him in her present state anyway. "Luckily", he had just enough connections to pull it off, but at that moment he hit the Despair Event Horizon hard and spent days contemplating suicide methods before coming to the horrible realization that he is simply too sane to kill himself, which made things even worse. So in the end he dedicated himselfto saving his town from the vampires.
In Memory, Sorrow, and Thorn, this is embodied in the character of Cadrach, who is introduced as a Dirty Coward and thief, but later turns out to have played a critical role in delivering the Tome of Eldritch Lore to the Evil Sorcerer who kicked off the entire "summon the evil Storm King back into the world" plot. He knows this, knows he did the whole thing out of cowardice, and admits that he'd do it again, thanks to his will having been broken by the knowledge contained in that evil book.
In Use of Weapons, happens in a rather nasty way to the original Cheradenine in one of the flashback chapters when he discovers what Elethiomel did to his sister, complete with Title Drop for emphasis. It's strongly hinted that the same happened to Elethiomel as well which led to him becoming The Atoner and thus the events of the rest of the book.
Before the events of the novel, Ista has already been driven over the DEH by an Accidental Murder, the death of her husband the king, and the weight of the family curse. In Paladin of Souls, We are catching her on the way back, as her madness was miraculously cured at the end of the previous book.
Darkness Visible has two notable examples. Most importantly, this is the reason why the leader of the Dark Tide is trying to end the world. He crossed the event horizon when his wife died. Badly. Lewis crosses his own despair event horizon in Hyde Park, when he realises that he will never survive the mental strain of closing all the rogue Thresholds. Being British, he gets on with it regardless, but quite without hope for his own survival. It is only thanks to Marsh getting him to a doctor immediately after his collapse that he lives.
"The disordered ranks of dark portals went on and on before me, stretching into the grey distance like an unending army. I kept my eyes on the sky, and knew with a crushing certainty that I faced my own destruction."
In All Quiet on the Western Front Paul crosses it near the end, after he lost all of his friends were in the war. He describes his feelings like this: "Let the months and years come, they can take nothing from me, they can take nothing more. I am so alone, and so without hope that I can confront them without fear." When he's killed not much later, his facial expression is described as "calm, as though almost glad the end had come."
Kalthused suffers a preliminary one in Within Ruin, Ankaa's death driving him to abandon his morals and instead orchestrate the death of millions. It gets even worse when Almi and Merill die during Virgil's rescue attempt he fully loses his marbles, embraces dark magic and goes on a murdering rampage.
Lennie the sharecropper in Kneel to the Rising Sun by Erskine Caldwell led a miserable existence even before the climax of the story. His family was starving, the brutal landlord had tortured his dog, and his father was eaten alive by swine. However, he well and truly crosses the Despair Event Horizon when the sadistic landlord forces him to betray the only man who had ever really befriended him, and he watches helplessly as the local farmers hunt him down and eventually lynch him. By the end he is reduced to little more than a hopeless shell of a man, sinking powerlessly to his knees as the sun rises before him.
The hapless Captain Bebo in Galaxy of Fear: Eaten Alive. Losing some of his crew in a ship crash, others vanishing one by one until only one remains in the single safe place on D'vouran, he tries to warn off visitors to the world but is too grief-stricken and gaslit by the natives for them to think he's anything but mad. Still, he keeps trying - and that last crewmember dying breaks him. It's actually this despair that gets one visitor to take him seriously and hear him out, but when he's done, rather than go with her he gives her the trinket that has kept him safe, and is killed shortly thereafter.
During the climax of the Griffin's Daughter trilogy, elf noble Sadaiyo discovers his brother, Ashinji had survived Sadaiyo's beytral (setting him up to be captured by humans who would kill him on the spot or drag him off to be interrogated, then killed). Sadaiyo snaps and tries to kill him then and there, heeless of the fact that A) everyone would know he did it and B) they were in the middle of a battle with the humans.
In Jack London's novel Martin Eden, the title character stops seeking fame and fortune as a struggling writer when he sees how the public treats the publication of a suicide friend's poem (the poem is a humongous success btw). His despair is such that he doesn't care when his career finally picks up steam, so he decides to retire early and commit suicide as well.
In John Milton's Paradise Lost, none of the devils propose admitting they are in the wrong; one ventures to raise the possibility, only to dismiss it as horrible.
In Vikram Seth's novel An Equal Music, Michael spends a long time teetering on the edge of this after Julia tells him to stop bothering her.
In The Count of Monte Cristo, Edmond Dantès is imprisoned in solitary confinement for years, on unclear charges, first hoping that the mistake will be quickly cleared up, then appealing in vain to the authorities, then raging, then praying to an unlistening God... after four years he realizes that he'll never be released. Crossing the event horizon (the author uses another metaphor: thoughts of suicide are like a blue inviting lake which, when you step into it, turns out to be quicksand), he decides to starve himself to death. He carries out this intention until he's lying on his bed weak and nearly dead... when he hears a scratching noise, which turns out to be a fellow prisoner digging a tunnel. This neighbor pulls him back over the event horizon, and turns his thoughts in a new direction: escape and revenge.
Several others experience despair horizons of their own during the story: Dantès saves at least two of them at the last minute, but experiences a new despair when his vengeance results in the death of his enemy's innocent child. (He gets better.)