And by extension King Francois I in the play on which it was based, Victor Hugo's Le roi s'amuse.
Alberich in Richard Wagner's Der Ring des Nibelungen is the Big Bad, yet somehow manages to not get killed; he's nowhere seen in the Kill 'em All ending of Götterdämmerung. It's debatable if he survived that long, however: an indefinite amount of time passes between Siegfried and Götterdämmerung, and Alberich's only scene in the latter is him appearing as a dream-like vision to his son Hagen. One could easily interpret this as him being a Spirit Advisor already dead of old age, but Wagner (who relied heavily on the extended Info Dump) never says anything about what happened to him after he was last heard laughing in Siegfried.
Which, incidentally, is also the current status of Doctor Who's Master.
At least one production, the great Copenhagen Ring, has Hagen kill him at the end of the "dream" sequence. Not only does it fit the music very well, it also fits into the general theme of the cycle: Hagen doesn't want to share the Ring with his father.
Of course, it could be interpreted that Alberich living without anything to show for renouncing love is punishment in itself.
Oberon in Shakespeare's A Midsummer Night's Dream. Essentially, to allow himself to steal a human servant from his wife (whom she won't give up because he's the son of a close human friend who died in childbirth), he drugs his wife to make her lovestruck, and then tricks her into handing over the child when she's not herself. He also tells Puck, completely on a whim, to help out a human couple he found in the woods, indirectly causing a significant portion of the conflict in the play. While he does eventually solve the conflict with the star-crossed lovers, when he releases his wife from her spell, not only is she not angry with him for enchanting her, but also appears to have completely forgotten the entire reason for their feud.
Jim Conley in Parade.He rapes and murders a girl, but Leo Frank takes the fall for it and is eventually lynched. Also, Conley testifies against Frank in court. None of the Klan members who lynch Frank are ever punished either.
Medea in Euripides' play Medea. After her husband Jason leaves her for Glauce, the daughter of the King Creon of Corinth, she poisons some clothing of Glauce. Glauce is poisoned by the tampered clothing and Creon dies trying to save his daughter. Then, to destroy her husband Jason completely, she stabs her two sons to death offstage. As Jason mourns the loss of his two sons, Medea escapes in a golden chariot of the sun god Helios.
Cinderella's Stepmother in Into the Woods. While her daughters get blinded by pigeons, she, who is probably the most responsible for Cinderella's misery, makes it through the show more or less intact.
However, it is strongly implied in the finale that she, along with her husband and daughters, got lost in the woods and starved to death. Not such a Houdini after all..
And there are the princes, both of whom abandon their wives to be slaughtered by the giantess (one actually is, AND no mention is ever made of her two children surviving the attack on the castle.) One prince seduces a married woman, and when she learns her lesson, she promptly dies. The princes both wind up with new women by the ending.
More true for Cinderella's Prince than Rapunzel's, as the reason Rapunzel's Prince was out wandering in the second act was that he was searching for her.
In the musical Little Shop of Horrors, Audrey II is an alien plant that convinces meek Seymour to kill people for him. Despite the play being a comedy, Audrey II not only survives at the end of the play, but gets away with his alien invasion.
Stanley Kowalski in A Streetcar Named Desire. This was changed for The Movie, where Executive Meddling added a scene of his wife Stella leaving him. In the original play, though, she remains willfully ignorant of the fact that he raped her sister. However, considering that this happened before, it's likely that Stella will come back to Stanley.
Evelyn in "The Shape of Things" Everything she ever told anyone before the penultimate scene was a lie, part of her project to shape Adam into a more physically attractive and "interesting" person. The fact she she is not even a little bit sorry for ruining Adam's, Jenny's or Phil's lives (or at least making them all miserable), combined with the gall to try to make what she did equivalent to Adam's more minor sins (cutting off all contact with the other two when she asked it of him, as well as kissing Jenny) is truly sickening. However, we don';t get ot see how she's graded for her project, and she mentions having to go to a meeting to explain herself to the dean, so there may in fact be consequences to her actions.
The Thénardiers in Les Misérables. Given that they're effectively living manifestations of the evils of 19th-century France, this was inevitable. They even gloat about it in a reprise of their Villain Song:
Masters of the land, always get our share,
Tear away the barricades and we're still here!
We know where the wind is blowing.
Money is the stuff we smell.
And when we're rich as Croesus
Jesus, won't we see you all in HELL!
Arguably Fire Chief Will Conklin in Ragtime, the man who spearheadedCoalhouse Walker'sStart of Darkness and suffers nothing more than being scared out of his mind and having his place of employment burned down. Coalhouse is the main villain of both the play and the novel it was based on, and through all his arsons and murders still manages to be more sympathetic than Conklin. On the other hand, though, handing Conklin over to Coalhouse as he demanded probably would've beenoverkill.
Pearl in Starlight Express. Boasts about how new and shiny she is, then rejects a nice guy (Rusty) whose love is pure; steals the boyfriend (Greaseball) of her best friend (Dinah) and is cruel to the poor abandoned girl about it, and is rewarded with a happy-ever-after ending with Rusty. Women, eh? Can't live with 'em, can't scrap 'em in a privatisation of your railway service.