Considering the fact that the premise of Survival of the Fittest is 'Kill until only one survives' these kind of endings are pretty much inevitable. Of especial Tear Jerker material is the ending of V1, whereupon the winner visits the families of a number of their deceased classmates. There's also the fact, y'know, that the winner is the only survivor out of the group of 123 kids on the island.
Homestar Runner: The first Halloween cartoon, Homestarloween Party, where a scary story is told and each character adds a piece. Strong Sad ends the story by killing everybody off, causing all the attendees to leave crying.
In Dr. Horrible's Sing-Along Blog, Dr. Horrible manages to defeat Captain Hammer and gain entrance into the league. But Penny, the girl of his dreams and the most actually heroic character in the show dies accidentally and is forgotten by everyone except him. And because of this he's left emotionally destroyed
Honorable mention: All About My Dog: Marimo on Youtube. The whole thing is pretty sad, but if the last 5 minutes don't make you cry you have no soul.
Season 2 of The Guild ends with Codex feeling horrible about breaking Zaboo's heart, seeing the guy she liked making out with her married friend Clara, and then finding Zaboo making out with Stupid Tall Hot Girl. Meanwhile, the guild leader Vork has a breakdown, and Bladezz deleted Tink's character, which in this series is just as angsty.
Bonus Stage, after first killing off Rya in a cheap and poorly-executed manner, then went on to have Phil go back in time and murder himself in the first episode, resulting in Joel trying to hang himself, being persuaded to keep going and build a machine to resurrect people, then accidentally killing himself ANYWAY, thus erasing the whole series from time. And this was a CHEERIER version of the episode (the original just cut to Joel dangling from the rope after he decided to give up).
Another example from Cracked: An article about columnist John Cheese trying to quit smoking. It's a very funny but intense recount of his thoughts and feelings during the first day kicking the habit. The sad part is, after a fake editor's note for the final joke of the article, there's a real note beneath it:
Update: John resumed smoking a few months after this article was posted.
Subverted. He quit again, although he still uses patches and gum.
Parodied in The Nostalgia Critic's review of Moulin Rouge!, where he realizes that because it's a Moulin Rouge! review, they need to have a sad ending. So he creates one by shooting Brentalfloss, and spends the end of the review mourning him. Then Brentalfloss shoots him from Heaven in revenge.
A few episodes play this straight, like James and the Giant Peach (he doesn't get forgiven and ends up being massacred), The Top 11 Dumbest Superman Moments (recalling what happened to the actors makes him miserable and he goes off to kill himself) My Pet Monster (where his identity crisis stuff comes to a head), A Simple Wish (Mara Wilson herself appears, calling the Critic out on holding child actors accountable for the movies they were in, no matter their age. Critic refuses to relent, Wilson—to the Critic's utter horror—begins showing and tormenting the Critic by showing humiliating videos from his adolescence years and now the world has seen them, snarking at them all the while, ending with the Critic screaming outMARA WILSON!!!!!), Son of the Mask (Critic is left crying, traumatized and scarred for life by the movie and Satan doesn't grant his request to be put out of his misery, and his daughter goes from childishly cute to horrifyingly ugly, thanks to the movie.), and Catwoman (Halle Berry (played by Orlando) appears and the Critic gets beaten up by her.) to name but a few.
Romeo And Julieta: Being based on Romeo and Juliet helps, but even in that the protagonists' deaths at least managed to end the family feud. Here, they're dragged off in the middle of their wedding, hung from a tree, and busted open with a bat. It's pretty clear that the ones responsible won't be getting punished for it, and it's never made clear whether or not they know of the piñata's sentience, so they might not even know what they did.
"The Malthusian Paradox", a British ARG running in late 2012, ends with one protagonist under arrest, the other turning out to have been working for the enemy all along, the kidnapped professor dead, and the antidote to the genetic virus in the hands of some evil third party. And that's with the players being successful at every task along the way... Presumably, that was the *good* ending.
Elrich from The Wanderers Library is destroyed by its stars, which are then captured and contained by the SCP Foundation at an unknown point in the future. A Hand, An Eye, A Tooth ends with protagonist being killed by her husband for her disfigurement.
In the Arby n' the Chief series finale, things were looking so grim that Arbitur was about to commit suicide but things looked up for him as Claire came back online and promised to play with Arbitur an hour a day. Things were looking up but chief, who just got his voice back, decided he wanted to end it all with a literal bang. the episode ends with Arbitur and the chief saying their goodbyes to each other and chief striking a match in a gas filled room with an explosion and sirens playing as credits rolled.
In Mario Brothers, at the end of the series everyone is dead, including Mario.
Suburban Knights was originally a Bitter Sweet Ending, but the extended DVD edition turns it into this. Critic and Chester's quest for the Necronomicon is a complete failure, causing Critic to lapse even further into depression and self loathing, Malachite is still alive (albeit "trapped" in a coffee shop), Mechakara has stolen Malachite's Hand for himself, and Mati's spirit becomes bitter and vengeful over how horribly the Channel Awesome crew treated him and how no one appreciated him until after he died, which leads to the events of To Boldly Flee.
Achievement Hunter's Let's Play Grand Theft Auto V episode "The Grand Heist": After making it to a Titan and only losing Ray to a Heroic Sacrifice, the rest of the Fake AH Crew is in smooth sailing, though under attack by choppers while in the Titan. Then the Titan stalls and starts to fall, it's left wing clips a chopper and explodes, killing everyone so close to the finish line.