When Mona admits she loves Max too. what makes the moment heartbreaking immediately after her admission, Vlad shoots her in the back.
The ending of Max Payne 2 in a sort of dark way when Max finally seems to accept the death of his wife and daughter.
Max: "I had a dream of my wife. She was dead. But it was all right."
The end of Max Payne 3 and probably the one time of the whole damn series it's played straight! After letting Victor Branco face justice (who is found hanged in his cell, suicide or possibly killed), it's revealed that Max is on a tropical island, ordering a soda from the bar, and walking across a sunlit beach. Considering he's ran from problems that drove him to alcoholism and over two continents, you can't help but feel he has more than earned a break.
The last scene with Passos in 3. He and Max part on good terms, with Passos leaving to start a family with Giovanna. Passos' last line (Life is worth living) flashes on the screen. Max seems to have taken it to heart in the ending.
The final run in with the fat ex-cop Anders Detling; if Max saw him the other times, he can have a final, nice conversation where it becomes apparent Max has at least one friend now:
Anders: (sighs, chuckles) Well, chaos and guns. I'd mighta known you'd turn up. Max: (holsters gun) Sorry. You headin' home? Anders: Oh, I'm here to pick up my daughter. [...] Eh, what're you up to? Max: I dunno. Tryin' to make a difference? Givin' back? Anders: (laughs) Yeah, well that's whatcha call it. Max: Stay safe. Anders: Yeah. Narration: Judgment with a smile, you can't beat it.
Well, that's one interpretation. The other is that Anders thinks Max has gone off the deep end and is doing his best not to offend the violent lunatic that's shooting cops in an airport. "Judgment with a smile" could imply that Anders is judging Max without knowing the circumstances that brought Max to that point.