The Walking Dead is pretty much one continuous case of this. A comic following survivors of a Zombie Apocalypse needs to keep up the drama somehow. Out of thirteen volumes, only two could be considered to have an ending where things weren't worse than the beginning.
The last chapter of Empowered's fifth volume hits this trope hard. When you have to repair someone's suit with duct tape and carry her across the outside of a space station with buggy artificial gravity in a decaying orbit... only to find that the backup portal will only get one of you to safety? Well that was still not Rock Bottom for Emp's day.
DC Comics's Blackest Night storyline. All the dead heroes and villains come back as zombies, and anyone who had superpowers still have them. Heroes are dying left and right and coming back as Black Lanterns themselves. Members of the various colored Corps band together to try and stop the villain Nekron. It doesn't work. And then suddenly, with the powers he's gained, he turns every resurrected hero into a Black Lantern, Superman and Wonder Woman among them. It's going to be interesting to see how the remaining heroes save the day.
He doesn't. He screws up again because of his ego, just like always.
Kick-Ass 2 does this. Hard. It starts with Dave trying to improve his skills as a crime fighter and joining a ragtag superhero group "Justice Forever". However, Red Mist (now The Motherfucker) and his supervillian team the Toxic Mega-Cunts kills members of the group. Then later rape his crush Katie. And then kill his father. And then an all out war between superheros and supervillains breaks out, with the comic ending in Hit-Girl getting arrested.
Mausis the story of the life of a Holocaust survivor, Vladek Spiegelman, as told to his cartoonist son (Art Spiegelman, the author) many years later in America. Having recounted in part one being persecuted and hounded throughout Poland, starved, and almost killed on many occasions, and being separated from his entire family, Vladek tells about being imprisoned at Auschwitz in part two. It is subtitled, "And Here My Troubles Began."
The X-Men have been made of this trope at least since the mid-eighties. They exist to suffer.
More like the entire Marvel Universe. The X-Men just (usually) go further with it.
Arguably, Spider-Man has it even worse. By this point, it seems the writers at Marvel have dropped all pretense and just devoted as much effort as they can into torturing him.
Played for laughs once with Spider-Man. After a few incidents, both the Toad and Frog-Man decide they want to be his sidekick. Just when Spidey tempts fate by saying things can't get worse, the Spectacular Spider-Kid shows up. Spidey concedes things are worse. It's left open as to whether their new super-team of The Misfits is yet worse.
In Brightest Day, which takes place after Blackest Night, everything seems to get worse with each issue. Recently there's been The Reveal that the embodiment of Life, the Entity, is dying and even more recently the revelation that Krona, the guy who teamed with Nekron to destroy the universe the first time his dimension was breached, as well as off-handedly caused Crisis on Infinite Earths, is the mystery villain capturing the various emotional entities.
Final Crisis had a somewhat lackluster one: for seven issues, Darkseid has slowly been dragging the Multiverse down an inescapable sinkhole to "a Hell without exit or end"; gradually, the situation got worse and worse and worse with half of humanity exposed to Anti-Life and becoming broken slaves, the villains organized and under the command of one of Darkseid's underlings, most heroes either depowered by the Morticoccus virus or turned into Justifiers (Darkseid's mindless soldiers) or, in the case of Wonder Woman, Furies, or even possessed by evil gods, the Green Lanterns effectively locked out of Earth, Superman kept busy in first another plane of existence and then another time and Batman imprisoned and later erased from existence; finally, Darkseid dies - and then it is revealed that, in the space between universes, where his death dragged them, there waits Something Even Worse. It's lackluster because this situation is resolved in all of four pages, as an afterthought.
FoxTrot had an arc where Roger, after a horrible business trip (which could be an entry in itself) that ended horribly finds him returning to his younger son needing stitches; he quits his job. He then proceeds to find out that none of his family has time (or wants) to hang out with him. To gain money, he invests... in an infomercial, losing money. He then tries stock trading... and loses more money. After all of this, he ends up going back to his job, having lost a number of paychecks, a large amount of money, and his computer, and gaining a cut in pay at his job. To top it off, his boss says to Roger's face that people in Roger's specialty are making three times what Roger does. Roger misses it, noting the shoeshine kit is still in its place.
The "Deranged Mutant Killer Monster Snow Goons" arc in Calvin and Hobbes might be the most hilarious example of this ever.
Spider-Man: Kletus Kasaday was an Ax-CrazySerial Killer serving 12 consecutive life sentences for the roughly 10% of his crimes they could prove. Then his blood got infected with a stronger evolved version of the Venom symbiote. Then it got switched out for a cannibalistic cosmic parasite. Then got robot legs.
Matt Murdock's life and mental state during the Marvel Knights series that began with Karen Page's death. Culminating in his usurping control of an ancient ninja cult and getting possessed by its demonic founder.
Knightfall's lead up and the first twelve issues is this. He's already feeling the burn, troubled by the failure of capturing Black Mask, dealing with Lehah and Azrael and fighting with Commissioner Gordon's new wife Sarah when Bane busts everyone out of Arkham Asylum. Then part 3 rolls around and, after taking down Zsasz, he's suffering from mental exhaustion. A couple of chapters later and he kicks Poison Ivy in the face out of total spite. Then there's another mental exhaustion incident involving Firefly, then a gauntlet run involving the Scarecrow, Joker and Bane's goons. By the time Bane is waiting for Batman in Wayne Manor, you know things have gotten worse.
Dark Horse Monsters: The endings of both "Jungle of the Giants!" and "Monster Island." The former ends with the protagonist defeating the giant lizard, only to find himself facing his giant son and his pet cat. The latter has Connolly escape from the monster-filled island only to discover that the island itself is a monster.