WARNING: Nearly every example is a spoiler. Read at your own risk!
Watchmen: Veidt has killed half the population of New York City in order to force everyone into world peace, and the rest of the heroes have to agree to keep their silence or otherwise risk kickstarting World War Three. Rorschach is the only one who doesn't agree to the scheme, and to make sure he doesn't tattle, Dr. Manhatten turns him into a smear on the Antarctic snow.
Turned into a Bolivian Army Ending because Rorschach also wrote his knowledge of the truth into his diary, which he sent off to a radical newspaper. The comic ends with someone from the newspaper reaching for their pile of "junk" material, which they use for filler. The diary is in the pile.
The "Going Sane" Batman arc, in which the Joker has been sane for six months while Batman has been recovering in a small town two hundred miles from Gotham. As soon as Batman reappears, Joseph Kerr runs out on the love of his life, sinks into the water, and emerges with a maniacal grin...
Batman: War Games. Spoiler dies after being tortured by Black Mask. Batman alienates himself from the rest of the Batfamily, from the police and from the Gothamites. Orpheus is dead, and Leslie Thompkins - who is Batman's mother figure - is disgusted, and tries to teach him a lesson about using teenagers. Several hundred people were killed and The Bad Guy Wins. Black Mask becomes the leader of the unified gangs of Gotham. Afterwards, Batgirl, Robin, Nightwing, and Oracle all leave Gotham. It is practically a tragedy, and the lowest ebb for Batman since at least Knightfall or A Death in the Family. Perhaps even the Darkest Hour for Gotham, since things cannot get any worse, except then there are the Red Hood and Infinite Crisis storylines.
The Punisher MAX arc The Slavers. All Frank's really achieved is a few more corpses and a little more of his own humanity chipped away. The horror still continues, no one is redeemed. And the worst part? It's based on real-world crimes.
He managed to rescue some of those enslaved, and they go on to live relatively normal, if psychologically debilitated, lives. By the standards of Punisher MAX, altogether this is a happy ending.
Jeff Smith's Bone has sort of a bittersweet ending, but Thorn saying her goodbye to Fone Bone, which almost seems like a permanent goodbye, makes people tear up for sure.
The prequel miniseries, Rose awkwardly tries to disguise the downer aspect, but the ending is sad because Rose must kill the first living being she sees after killing Balsaad and has every reason to kill Briar, her sister, but instead, Briar tells Rose that she does not serve the Locust and the Locust was controlling her. Thus, Rose spares her sister's life and instead kills one of her own beloved pet dogs. Cue the townspeople cheering on Rose for killing Balsaad. Plus, the fact that Rose spared Briar allows Briar to continue to help out her charming friend the Locust in emerging into and destroying the physical world. This also allows Briar to kill Rose's beloved daughter and son-in-law in the future.
Though, in a Fridge Logic kind of way, Briar's life being spared is a good thing, because if Briar was dead, Thorn would become the Locust's new helper, the Bones would most likely have never traveled to the valley at all, and overall, the events of Bone that would lead to the destruction of the Locust wouldn't happen and it would instead stay alive and have more chances to escape the spirit world.
Warren Ellis' Zombie Apocalypse miniseries Black Gas ends with every protagonist dead, New York City nuked, and the titular zombifyin' gas implied to spread across the entire world.
The ending to the second volume of The League of Extraordinary Gentlemen can be seen as this. The Martians are defeated, but with a deadly disease hybrid that wipes out many citizens in London (which is covered up by the government). Griffin and Jekyll/Hyde are dead, Nemo leaves the group in fury of the government's methods, and some time later, Mina leaves Quatermain to stay at a women's colony. The last panel shows us Quatermain, sitting alone in Hyde Park.
Things get better from there - Mina and Allan reunite, as seen in The New Traveler's Almanac and The Black Dossier, and eventually escape to the Blazing World with the Dossier.
And just as quickly, things have fallen apart again. The end of Century: 1969 mirrors the ending of Volume 2, but manages to come off as even more depressing. The villain escapes, Mina is dragged away to an insane asylum , and in a flash forward eight years, Quartermain is once again left completely alone, only this time his situation is even more dire. He's a shell of his former self, a miserable junkie once more, and completely lost without Mina, who is still locked away. The book ends with his only remaining friend Orlando leaving him, disgusted at what he's become.
Confirmed at the end of Century: 2009: Allan's dead, Mina and Orlando are still utterly burned out by Who Wants to Live Forever?, and while the Antichrist was destroyed by a benevolent Eldritch Abomination, the League Britain is still an incredibly grim place.
"Help, God! The light has got Cerebus!" To elaborate: in the final issue, Cerebus dies. After seeing almost every important character in what appears to be the light of Heaven, and especially his three favorite people (Bear, Jaka, and Ham Ernestway), he begins to ascend into the light. However, when he realizes that Rick was not in the light, he suddenly realizes that the Light is actually the YHWH, the opposite of God, and tries to escape but is dragged screaming into the light.
The first two Atavar arcs ended on severe downers.
1: Atavar and a small group of Kalen manage to penetrate to the heart of UOS node, and the UOS begin communicating with Atavar. They claim they are actually a servitor race, looking for a species to obey, and their war with the Kalen is simply an attempt to protect themselves from a hostile aggressor species. Atavar kills the Kalen with him to prevent them exterminating the UOS... only for it to be revealed that they were lying, the UOS really are evil, and Atavar has just doomed the Kalen.
2: Atavar and Worldbreaker enter the heart of the Wosk's 'God', which is actually a galactic cancer. Worldbreaker is killed and Atavar's vessel is overridden by zombie Wosks; his weapons are disabled and he doesn't have enough energy or fuel to escape.
The original Marvel comics G.I. Joe series ran into this due to its cancellation, as it ended pretty much just as Cobra Commander had gone about kidnapping and brainwashing just about everyone who had ever worked for him, including Noble Demon Destro, The Atoner Zartan, well-on-her-way to a Heel-Face Turn Baroness, and flat-out heroic characters Storm Shadow and Billy. The brainwashing method used on the last three basically involved torturing them until they gave in. Did I mention that Billy is Cobra Commander's son?
Rare for the franchise in general, the Doctor Who Magazine comic "The End Of The Line" features the 4th Doctor attempting to save a group of humans in a devastated England from mutated cannibals by helping them restart the Underground trains so they can escape to a station long prophesied to be an idyllic countryside, free of radiation and danger. The Doctor's own presence brings the cannibals right to the survivors' secret base, but he manages to mostly start the trains and escape in the TARDIS (a surprisingly dick move for the usually noble Doctor) as the last humans struggle to save themselves. He arrives at the station to find out it's simply a doorway to the Underground surrounded by radioactive wastes, and would serve the survivors no better than the city if not kill them outright. Still, he sits and waits for them. After some time passes, the train does not appear; noting that acid rain is preparing to fall, The Doctor turns and leaves without further comment. (And no, this story was never picked up again.)
Frank Miller's Hard Boiled ends with the protagonist, a robotic assassin who thinks he's human, slaughtering most of the security forces of the corporation that created him only to end up almost completely destroyed, and ends up being put back together, having his memory reset, and returning to his (fake) family none the wiser about his true nature. Also, he happened to be the only hope for a planned revolution that would have freed all other robots from slavery, a plan which falls apart with his defeat, and prompts the revolution's leader to kill herself by overloading her own circuits.
Secret Six ends with the entire team being taken down by an army of superheroes during their epic Last Stand. Deadshot and King Shark would later appear in Suicide Squad, but the fates of their teammates are (likely deliberately) left unstated, though everyone appears to at least be alive when last seen. This was the result of a Continuity Reboot of the whole DC Universe, and conversely, the fact that it even got an ending should be considered upbeat and a testament to the series's fanbase.
Gotham Central. Crispus Allen is dead, his murderer gets away with it, his partner, Renee Montoya, is left a drunken, violent, mess who can't handle police work anymore, the corruption continues and all the MCU cops can do is watch it happen.
Ultimate Spider-Man ends with Peter Parker dying after taking a bullet for Captain America and then attempting to take on all of the Sinister Six at once before seeking out medical attention. The only bright spot is that Spiderman stops the Six, but it's not clear how long they'll stay down.
Avengers: Children's Crusade ends with the Young Avengers breaking up. Stature and Vision are dead, Iron Lad is well on his way to becoming Kang the Conqueror, the surviving kids are consumed with guilt, and Scott Lang comes back to life just in time to see his daughter die.
Star Wars: Dark Times: The Path to Nowhere is disturbing. Bomo Greenbark and his new comrades set out to save his wife and daughter from slavery. At the slave pits they learn that the daughter has already been sold; his wife tried to protect her and was killed. The group is unable to free the remaining slaves, either. Eventually, they manage to track down the man who purchased the daughter, only to learn he has … eaten her. And then Dass Jennir – the Jedi of all people – kills him on the spot, alienating Bomo who would have preferred avenging her death himself.
Journey into Mystery probably takes the cake when it comes to downer endings. Not only is young Loki more or less forced to commit suicide by erasing himself from existence, but his body is taken over by his mentally disturbed, evil older self. This is particularly devastating as no one else even knows it even happened, therefore everyone who trusts and cares about him has suddenly been put at risk. Additionally the last few panels of a 13 year old boy ritualistically eating a live magpie are pretty horrifying.
The short-lived Muties series had several, but the last issue takes the cake. Liam turns on the terrorists who forced him into their service, but he's captured by The Government, which decides that he's too dangerous to let live and thus quietly executes him and publically blames his death on terrorism.
The end of one of Ed Brubaker's Daredevil arcs has DD's wife being committed to a mental hospital, Mr. Fear in control of Ryker's (with nobody knowing) and the Hood having both his organisation and Mr. Fear's to use to control Hell's Kitchen.
In When the Wind Blows by Raymond Briggs, a retired couple attempt to prepare for an impending nuclear holocaust by following the advice given in various official leaflets. However, though they both grew up during World War II, they are unaware of the long term effects of a nuclear war and think life will soon get back to normal. The story ends with both of them fatally ill with radiation poisoning.