Magic: The Gathering's metaplot is infamous for this. In the "Tempest" block, the character Crovax was set up as a tragic anti-hero who meets a sad end...but rather than kill him off there they have him unexpectedly survive and turn into an alien cyborg Hitler. The supporting character Ertai is a smug but amusing wizard with an Awesome Ego who ends up Crovax's prisoner as part of a Break the Haughty arch for him. How will he get out of this scrape? He won't: He gets turned into a monster, becomes instantly evil, tries to kill all his former friends and then dies without redemption.
In the climax of that same long-running story, the ultimate good guy Wizard Classic protagonist/messiah Urza, who was set up as the game's Big Good hero for six years, mind you, is on the brink of sealing his victory against the techno-demons he's battled for 5,000 years...and then he decides that, actually, he'd rather be on their side after all. He does get a measure of redemption later...after he's been killed and reduced to a talking severed head. So yeah.
The Mirrodin block followed a trio of destiny-touched misfits trying to save their world from a tyrant most don't even know exists. They succeed! ...and then in the sequel we find out that the main character has been turned into a monster/zombie/demon who turns right around conquers the world for an even worse force. And in this story The Bad Guy Wins, so not only is she never redeemed, she even survives.
Every time there's an Edition change in Forgotten Realms, they take the pruning shears to the various established characters and the deities. Some get awesome deaths. Azuth the god of mages, an ascended mortal that got his position by kicking the ass of the previous god of mages, pretty much gets eaten by Asmodeus to fuel his ascension to godhood.
For the 4th Edition, they literally drop a continent on several Realms to get rid of them.
Rumour has it that Mystra, greater deity of magic and A God Am ICanon Sue, got killed by getting hit on the back of the head, along with numerous other Canon Sue characters, though most of them departed in ways that imply they can be brought back *groan* .
In addition to the actual deaths, the 4th Edition also wrote out a fair number of gods (some very old and quite prominent) by retconniningly revealing that they were actually aspects of other gods all along. The gods may not be dead as such, but they were definitely written out of the setting in an unexpectedly anti-climactic and mundane way...
The Squats of Warhammer 40,000 got a hive-fleet dropped on them. Some fans argue that the Squats are Old Shame and deserved to be removed, while Squats fans will invoke They Changed It, Now It Sucks. Games Workshop has stated numerous times that they have no desire to revisit the issue or argue about it with fans, however they did include a reference to the Squats in the latest version of the game listing them as a non-extinct species, and they still allow them to be played in official events as long as the figurines are drafted under an officially supported army's codex.
In Warhammer, the fabled Bretonnian king Gilles le Breton was killed randomly by a black-feather arrow in a battle with Orcs. His sudden and tragic death came out of nowhere and shocked the people of Bretonnia so much that in their society, archers and other users of ranged weapons are largely shunned. He's not really dead, though...