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Concerned, with the subtitle "The Half-Life and Death of Gordon Frohman", is another example. The main character ends up falling off the top of the citadel, and still survives. However, he realizes the only reason he hasn't died thanks to his own to stupidity is the fact that he has an in-game cheat activated, and turns it off without thinking about the consequences. It turns out that rebel medics were only a few minutes away, and they proclaim him "Totally Dead".
The webcomic minus is a subversion: it suddenly ends with the title character resurrecting every person and animal that ever died, which cause everyone that was resurrected and already alive to be crushed by the lack of space. However it's noted that they're nothing especially sad about it as that just means everyone become ghost and they all just go on with their lives and the Earth is made into a theme park by Sufficiently Advanced Aliens that the ghosts visit.. After a bit of Fridge Logic you also realize that, for all we know the title character could have changed things back or done pretty much anything after the strip ended at some point.
He got better and rejoined the resistance once he found out that the real mastermind is Doctor Shlock's alternate, and not his.
In The Order of the Stick's prequel book "Start of Darkness", Redcloak's brother Right-Eye's family is killed by adventurers, spurring Right-Eye to betray Xykon, leading Redcloak to kill Right-Eye in a loyalty test by Xykon, Dorukan is killed and has his soul trapped by Xykon, and Xykon convinces Redcloak that he either has to accept he killed his brother for nothing or work for Xykon until his plan is finished. There hasn't been any real comeuppence yet, either.
The Azure City arc (War and XPs) ends badly too. The Order is split, Roy is dead, Azure City is burning and occupied by the villains, the fleet hasn't enough supplies and Kubota still plotting against Hinjo (with intact strength) with an ally with a red and black speech bubble.
Also #695 which portrays the fate of an anthropomorphized version of NASA's Spirit rover. Even more poignant given that contact was lost with Rover in 2010 and despite many attempts, there has been no success at regaining contact as of April 2011.
Many episodes of Nuzlocke Comics ends with one of Ruby's Pokemon dying despite it being a comedy otherwise. Additionally, Steven ends Ruby's journey by killing his final four Pokemon, with his starter being the last to die.
Falcon Twin opens with Mika being stabbed by Sydney, then jumps back to show how things got to that point. After a succession of tragedies, with Mika becoming progressively more miserable, the comic finally catches up to that point, her friend Treska finds her... then runs off, leaving Mika to spend her last moments believing she'd been abandoned. Comic over.
Narrowly avoided with Bittersweet Candy Bowl. The comic was originally supposed to end with Lucy committing suicide and Mike breaking down when he realizes that he really did care about her after all, but fan input has convinced the author to continue the story.