"The sun setting on a sweet summer's day. The smell of freshly mowed lawns, the sounds of children playing. A house across the river on the Jersey side. A beautiful wife and a baby girl. The American Dream come true. But dreams have a nasty habit of going bad when you're not looking." —Max Payne
In Umineko no Naku Koro ni, George and Shannon are particularly prone to this. In every scenario, the murders begin the night George proposes to Shannon (Although the scene itself is only shown in two arcs, it's implied or stated to have occurred in all the others as well). And you can bet that if one or the other isn't one of the ones killed in the murders immediately after that scene, they're going to die right after having done a pledge of love to each other that seems designed to try to make the audience burst into tears. Particularly brutal in the third arc, where Shannon of them dies immediately after the proposal, George resurrects her using the Power of Love, only for them both to be killed right next to each other not even ten seconds later. But it's subverted, as, not only is Shannon not really dead in Episode 1 and 3, she is the main culprit of the murders. To makes things worse, George's marriage proposal is probably one of the things that solidify Shannon's resolve to blow up the island ("Even after death, we will always be together"). The "resurrection-redeath" scene in Episode 3 is open to interpretation though. And with the alternative culprit theory, George is one of the culprits, although that one was jossed by the manga.
The ending of the first season of Tower of God. Just as Baam saves himself and Rachel, the girl he has been looking for the entire season, and reaffirms his desire to be with her, she seems to reciprocate… before she pushes him of the vehicle they're on and watches him fall into deathly depths. Turns out she had a deal with the Tower's Guardians to sacrifice him for her own benefit.
The X-MenDark Phoenix Saga featured a deepening of Cyclops and Phoenix's relationship, with several memorable romantic scenes, before she is consumed by power, goes insane, destroys a solar system, and ultimately commits suicide as a Heroic Sacrifice.
Making the intrusion of one Emma Frost down the road that much worse.
In the Silver Age run of The Flash, after a long period of marital conflict between Barry and Iris, issue #275 saw them reconciled and seriously discussing children. Iris was dead by the end of the issue. (Much, much later this was reversed, and Barry and Iris walked off happily into the sunset...just in time for Barry's death in Crisis.)
In the Katawa Shoujo fic, Reconciliation, after Hanako's bad ending, Lilly and Hisao get together shortly before graduation, and are quite happy together, enough so that Hanako recognizes that Lilly's feelings for Hisao were deeper than her own. They go out for five years and are married for three years before Hisao dies of a heart attack.
The beach scene in Casino Royale, and the arrival in Venice following it. James Bond, genuinely and sincerely in love and willing to walk away from his career as Her Majesty's hit man for it. Obviously, this can't work out.
Serenity had hints of this for Zoe and Wash but no real stand-out moment. This was fixed in a comic series that takes place before the movie, just to twist the knife.
In The Punisher (2004), Frank Castle and his darling wife Maria share a lovely scene on the beach at night. Come on, tell me you know what happens next.
Hell, this is always the way it is for Frank Castle. Comics, he's in the park with his family on a picnic, he's finally decided to stop reenlisting to fight in Vietnam, and then, well, you know what happens.
Not exactly the same as the other examples, but arguably still counts. In The Dark Knight Harvey Dent and Rachel Dawes have a nice little moment together just before Harvey is taken away by the police for claiming to be Batman- part of a Batman Gambit to catch the Joker. Harvey gives Rachael his lucky two-headed silver dollar. It's the last time he sees her alive.
A similar moment happened between Bruce and Rachel a little earlier. It's also the last time Bruce saw her alive.
Practically mandatory in every Bollywood movie that doesn't end with a wedding or Relationship Upgrade. Most recent is My Name is Khan. We were so happy together, until 9 11 happened, you lost your customers, our sister-in-law got assaulted, our best friend died, our son got killed, you went off the wall, kicked me out, and told me to tell the president I wasn't a terrorist.
In Don Juan DeMarco, the title character and the beauteous Dona Ana are blissfully happy together, until he tells he something he should've kept to himself; he had over a thousand lovers before her. She promptly dumps him. "Truth is a terrible habit."
In Animorphs, Marco's dad confided that he and Marco's mom had a brief period of ideal, perfect love before she disappeared and was presumed dead. Of course, this period of perfect love occurred only because she was under the control of a parasitic alien.
The Hunger Games: In-universe in "Catching Fire". The majority of the citizens of Panem seem to feel this way about Katniss and Peeta, aka the star-crossed lovers of District Twelve, having to go back into the arena. Peeta plays it up even further during his pre-game interview where he reveals that him and Katniss got married in secret and are expecting a baby. It's actually a lie but the intention is to gain sympathy through this trope.
Played straight with Finnick and Annie in Mockingjay.
Daja and Rizu in Circle of Magic get about a month or two together, and then Sandry gets kidnapped, leading the Circle to decide that they must go back to Emelan. Both Daja and Rizu assumed that the other would stay with them; unfortunately, they were both very wrong. Neither takes it well.
Live Action TV
"You Think You Know Somebody" from Veronica Mars. Troy and Veronica serenely hold hands and walk down the hall right before he turns out to be a drug dealer who never told her about his shady past.
In "Ain't No Magic Mountain High Enough," Mac and Beaver are totally cute the entire episode. The season ends with Beaver being a sociopathic molestee who may or may not have used Mac as The Beard.
In LOST, Sayid and Shannon spend a romantic evening in the Iraqi Love Shack. Then blammo, Ana-Lucia accidentally shoots and kills Shannon the next day. Sayid doesn't get nice things. Also, same couple, in the first season. They're gone for awhile on a romantic evening while Shannon's brother slowy dies. Needless to say, this throws a hitch into the relationship.
Sayid has a horrible time with this. As the Cartwright Curse page says, sleeping with him is an excellent way to get dead. Although the worst is probably when Nadia gets hit by a car eight months after they got married. This is the girl he was searching for for YEARS and finally got to be with... but of course the Crowning Moment of Heartwarming can't last.
In Lois and Clark, Clark Kent has married Lois Lane after battling the evil frog-eating clone of Lex Luthor. They have a sweet scene together, and Clark goes to the bedroom to await his bride. And then we watch Lois eating a frog, heralding how exactly this is gonna go all wrong.
Willow spends half of season six trying to get her magic under control and get Tara back. Eventually she and Tara make up. For one episode, they are really happy and have lots of make-up sex. At the end of the episode a stray bullet kills Tara.
At the end of "Bad Eggs" in Season 2, Buffy and Angel are shown kissing through Buffy's bedroom window. A very "awwww" moment. The next episode they have sex for the first time, which reverts Angel back to the original, murderous Angelus. This trope is literally how Angel's curse operates: perfect happiness = no soul.
Spike and Buffy spend all of Season 7 walking on glass around each other after Season 6's disastrous relationship. Once they've patched it up, though, they spend the last three episodes frequently cuddling together and generally being sweet. There's even a Fade to Black when she visits his room the night before the final battle. The next day Spike pulls a Heroic Sacrifice and is burned alive. By an amulet Buffy gave him. He's resurrected over on the spinoff, but has no idea how to tell Buffy.
The very last time Willow and Oz are shown together before the debacle with Veruca starts it's morning, they're in bed cuddling, kissing, and saying how much they'll miss each other the coming full moon.
In Angel Wesley and Fred sing "You are my sunshine" to each other. Fred collapses during the song, foreshadowing her imminent demise at the hands of Knox.
Dollhouse has Topher and Bennett, right before Bennett gets shot by Whiskey.
Doctor Who— "The Stolen Earth" has a moment between Rose and the Doctor.
Battlestar Galactica. Dee and Lee go on a date, both seem happy, poised to get back together, and it's a nice moment in the sea of bleakness that is the show...and then Dee goes back to her quarters and shoots herself dead.
We also know, right from the end of the pilot, that Boomer is a Cylon, and we know that she's going to be found out at some point, which makes those happy moments with Tyrol all the worse.
In The Peacekeeper Wars Chiana and D'Argo have finally made up after two seasons of drama and Chiana says she wants to settle on Hyneria with him. Moments later D'Argo is fatally wounded and stays behind to cover the gang's retreat.
In the Torchwood miniseries Children of Earth, various characters keep bringing up the fact that Ianto and Jack are a couple and drawing a lot of attention to it. Ianto himself points out this out and seems very happy at Jack's nonchalance about the fact that they are, in fact, together. And then Ianto dies.
Clark and Lana of Smallville manage to pull this off more than once:
Clark finally reveals his secret and proposes to her in season five, which she happily accepts, right before knowledge of the secret leads to her being involved in a fatal car accident. Once the day is undone, he continues to lie to her in order to keep the accident from happening again, leading to her breaking up with him.
When she returns in season eight and gains superpowers, they rekindle their relationship and it seems they can finally be together as equals with no secrets or lies. Then they discover that one of her powers is Kryptonite absorption, and once she disables a Kryptonite bomb planted by Lex, they can never go near each other again.
The West Wing has a storyline in season three where CJ is assigned a bodyguard, Simon, due to death threats she'd been receiving. Despite an obvious mutual attraction, they're unable to pursue a relationship until the person sending the threats is caught, and when he is, Simon and CJ kiss, agree to meet later, and he is shot and killed after walking into an armed robbery in a convenience store.
Arthur and Guinevere finally get engaged on Merlin and the celebrations are getting underway, only for a Brainwashed Lancelot to return from the dead as a tool sent by Morgana to destroy the happy couple. Because Gwen no longer reciprocates his feelings, Morgana has Lancelot give her an enchanted bracelet that effectively Mind Rapes her into meeting with him at night. She's caught in a compromising situation, leading to her public humiliation and exile from Camelot, and Lancelot's suicide.
The end of season 6 of Star Trek: Deep Space Nine has Worf and Dax, Happily Married, trying to conceive a child, made difficult by the species barrier. Near the end of the season finale, Dr. Bashir tells Dax that he found a solution, and she and Worf can get started on getting a kid. Just a few scenes later, she's killed by Gul Dukat.
In Game of Thrones adaptation of the the infamous Red Wedding, major hints that all will soon go very badly start when Robb Stark and his wife Talisa gleefully decide to name their unborn child Eddard Stark if it's a boy.
Because they're going on a suicide mission, this is a possibility for every romance in Mass Effect 2; however, this trope comes into full play with Thane and female Shepard—during the culmination of their romance, Thane finally admits he's afraid of death again because he's found something (and someone) to live for. There is a very real possibility of one or both of them dying very shortly thereafter, and even if they both survive, Thane has a terminal illness and six months to live. If he survives to Mass Effect 3, Thane is one of the two former party members who is guaranteed to die over the course of the game—he's mortally wounded by Kai Leng while trying to prevent him from assassinating the salarian councilor.
Also in Mass Effect 3: a male Shepard and Tali will plan to build a house on Rannoch, a female Shepard and Garrus will discuss adoption and retirement on a beach, and a Shepard of either gender will want to have lots of "little blue children" with Liara. There's an extremely high chance that Shepard will die at the end of the game.
Comes into play in Xenoblade. Shulk and Fiora share a peaceful moment at Outlook Park, with Fiora enjoying the breeze and wishing such a moment could last forever. Shulk constantly flashes back to this memory as his last happy moments with her as he tries to cope with the fact that she's gone from his life. Reason being, because the day after, Colony 9 was invaded by the Mechon and Fiora brutally murdered by the giant Mechon known as Metal Face. But eventually she turns out to be Not Quite Dead.
A much more brutal example in the Sequel Series, The Legend of Korra, happens with Zaheer and P'li, where they share a tender moment in the penultimate season 3 episode. In that very same episode, P'li gets her head blown off, and Zaheer loses all earthly attachments consequently.