Futurama. The Stable Time Loop has Farnsworth selling Planet Express and getting his crew killed - because Mom tossed in a Nice Hat sombrero. No matter what happens.
Arc Rise Fantasia has one happen to Paula and Luna, the We Challenge You! sidequest involved running around all over the world searching for hidden clues, at the end of the search, the whole thing was revealed to be a prank left behind by Zamuel meant for anyone who happens upon his clues.
The plot of the Tower Defense game Immortal Defense is a Shaggy Dog Story of truly epic proportions. At the end of the game, after nearly a hundred missions of defending your beleaguered home world against increasingly impossible odds, you finally learn that the enemy really did wipe out all life on your planet at the end of the second campaign, your character has gone insane, all the "transmissions" you've been receiving from the planet were in fact hallucinations, and you've spent the past million years defending a lifeless ball of rock.
The game's creator has said that some or all of the last campaign is a hallucination, so the enemy isn't really wasting ships or lives at that point (it also explains how so many of the unique boss enemies reappear).
Original The Longest Journey was this so much, it hurts: April goes on an epic quest, discovers that she is supposed to become the Physical God to Save Both Worlds, sees all her friends and acquaintances killed or maimed in process, screws up all her previous life... only to discover that she was, after all, only mistaken for The Chosen One and is, after all, not really needed anywhere. Of course, one could argue that she did save the Twin Worlds but...
The sequel Dreamfall: The Longest Journey gives us a rare glimpse of how the protagonist of a shaggy dog story acts after their meaningless quest. April is understandably depressed and cynical. The series then doubles-down on the shaggy dog aspect by having another character be told throughout the entire game to SAVE APRIL RYAN, only to show up just in time to see April stabbed to death.
In Hellgate: London, the humans are trying to kill Sydonai and expel all the demons from Earth. After you kill Sydonai, Murmur appears to tell you that he use you to kill Sydonai so he can get his position, and there's no indication that the demons are leaving just because Sydonai was killed.
When you pick up Elika's body and slowly walk outside while carrying it, the credits start rolling. When you put Elika's body back down outside the temple, the credits stop. The official strategy guide for the game even states outright that this is a good place to stop if you don't want a bad ending. The player still controls the Prince, but there's nothing left to do aside from destroying the tree of life and freeing Ahriman - which the player must do themself, without any coaching from the game. Doing so leads to the downer ending where The Prince frees Ahriman and revives Elika, who responds to this by asking "Why?"
The epilogue expansion turns this around. The prince does not believe that Ahriman can be properly sealed anymore so the choice ultimately came down to fight Ahriman now with Elika and Ormazd's help, or fight him later without them. Elika still thinks he's an idiot for making that choice.
Prince of Persia allows you to play to the end after you run out of time, to find the Princess's room empty, with her either dead or married to Jaffar.
Diablo did this. The protagonist finally defeated the Big Bad, only to become corrupted by its Soulstone and become the new Diablo himself. And this is because the protagonist believes that they are strong enough to fight the spirit of Diablo.
The plot of the Neo Geo shooter Cyber-Lip has the protagonists being sent to a space colony in order to destroy an insane supercomputer who controlled an army of androids supposed to protect humanity from marauding aliens. After destroying the eponymous computer, the ending shows that your Mission Control is actually an alien spy who sent you there to clear the way for an alien invasion.
In the first game, Guybrush spends a lot of time searching the potion which can destroy ghosts: but the potion is actually root beer, which can be found in the vending machine on the very island where the game begun!
There are only two things that are clear from the ending of Contact: The bad guys weren't really evil, and- despite deceiving both Terry and the player- the Professor isn't either. So... why all the drama?
Every entry in the Geneforge series, except possibly the last. Each game concludes its plotline with the player victorious- and usually on a hopeful note for the world at large, if you play right. But then the next game rolls around, and the world has gotten more crapsack, the bad guys more threatening, the good guys less sympathetic, and your achievements in the previous games are barely mentioned. An air of hopelessness and futility hangs over the proceedings by the end of Geneforge 3, and never goes away.
In the ending of The Legendary Axe II, you finally claim the throne from your ne'er-do-well brother, but shortly afterwards a naked assassin chick with purple hair and a scimitar the size of Shaq jumps out of literally NOWHERE and... it cuts to the credits! WHAT.
At the end of Ultimate Spider-Man, you as Peter Parker/Spider-Man have to fight Eddie Brock/Venom to the finish to keep him from killing Bolivar Trask, the man who apparently had something to do with both of your parents' deaths and get your hands on the file which tells you the truth about the incident. During the cutscenes after beating Venom you don't actually get to find out what was in the file and Eddie tracks down and murders Trask in prison anyway. And then the game got retconned.
It's only a Shaggy Dog Story for Eddie, not Peter and the player as we do get to see what was in the file during the final cutscenes. Eddie's father took a sample of his and Richard Parker's (Peter's dad) research, then tried it on the plane, which transformed him into a Venom-like creature and caused the plane to crash. Also, Eddie cites his captivity by Trask and Trask only getting three years as his reasons for killing Trask.
In the brilliantly-written Time Hollow, the intrepid hero finds himself in a completely altered reality, with no memories whatsoever of how it happened and no idea how to set things right. All he has is a mystical pen with the ability to alter something that happened in the past, each time changing his present reality in drastic and unpredictable ways. Sometimes solving a problem creates an entirely different problem, which he must then seek out and fix. After countless twists, turns, harrowing confrontations, and narrow escapes, the pieces ever-so-gradually fall into place (with several pieces falling out in the meantime). It turns out that if the hero goes to a certain location to save a certain person's life, this will avert the long chain of events which caused time to go out of whack, and everything will return to normal. Of course, by then it should be readily apparent that had he just known that beforehand, he could've just done that right away and saved several weeks of trouble. Even better, once you finish the game, you can start a new one and do just that! Meet your enemy on the street, let him know that you're onto his scheme, and offer to set things right. He'll grudgingly give you one night to make good on your offer, which is more than enough. Go to the school, get the pen from your dad, save the girl, done. You even get a special ending for your trouble.
Sonic the Hedgehog (2006). A lot of levels (especially Sonic's) have absolutely no story relevance. Furthermore, the whole story feels like one for the player since in the end Elise pulls out a Cosmic Retcon.
Although actually, most of the characters, including the player, survive, allowing for the sequel Mask of the Betrayer. However, one of the endings of that is also a Shaggy Dog Story, as you send the curse back into the world, after you were given it in the first place for the sole purpose of getting rid of it. Fortunately, the other three endings do have varying degrees of meaning to them.
A better example is your trial for the Ember massacre. Whether you're found innocent or guilty, the losing side appeals to trial by combat. The developers themselves have admitted you shouldn't have to fight Lorne if you were found innocent.
Then there's the Third Crusade, depending on how invested you are in bringing down the Wall of the Faithless. Two of your companions are bound for it, and another was kicked out of one of the Realms' "heavens" for trying to go against it. Agree with Kaelyn, gather Akachi's old generals, storm the City of Judgment... and then Kelemvor shows up and goes "Nope."
Every ending of Covenant of the Plume is some variant of this. For summary purposes, the hero Wylfred has made a deal with the dark goddess Hel that will help him slay the other goddess Lenneth, who he blames for the death of his father. He's still just an ordinary guy—in no ending can he actually kill her. The degree to which the trope applies varies, however: ending B is straight-up shaggy dog, with absolutely nothing achieved. In ending A, Wylfred decides on his own to give up on vengeance, and kills a powerful servant of Hel. Hel herself remains untouchable, despite the revelation that she was responsible for all the suffering and death that occurred after the first fifth of the game. C fits into another trope...
In the A Crystalline Prophecy add-on scenario for Final Fantasy XI was a cross between a Shaggy Dog Story and All Just a Dream. You can get some actual decent gear rewards from the missions, but the story itself would have resolved in the same manner had you not been involved, not to mention that none of the NPCs involved remember anything that happened or mention it ever again.
Final Fantasy XII, the overarching plot of the game concerns rising tensions between two opposing Empires just waiting to be sparked into a war by a third party's intervention. Ashe, princess of a subjugated country under the Archadian Empire and the focus of the playable party's story, wants to acquire the power to challenge the Empire herself, or to weaken their power. But other characters are constantly warning her that revenge is a pointless goal and her efforts are only increasing the air of paranoia around the larger nations, and ultimately Ashe accepts that yes, revenge is meaningless. However this revelation has only come at the end of the game, and up until then the party ventures into dungeons looking for ancient relics of power, only to find them useless for various reasons and go looking for another one.
In The Lost Crown, you can have Nigel collect photos and recordings of various hauntings, as well as find the legendary Saxon crown. In the end, he not only has to return the crown, but all his hard-sought ghost evidence is sabotaged.
At the end of Nelson Tethers: Puzzle Agentthe foreman you were trying to save is taken away screaming by the Hidden Ones. Tether's superior doesn't care about this in the least since the eraser factory is open again... despite the fact that the President (the factory was the main eraser supplier for the White House) didn't even notice the eraser shortage.
This is averted in the sequel where you go back and finally solve the mystery of the Hidden People and the astronaut
Episode 3 of Strong Bad's Cool Game for Attractive People starts with Strong Bad's game console breaking. He then sets out to form a "Battle of the Bands" to raise the repair money. After getting all the local bands, having to enter himself with two characters he hates, and barely managing to etch out a win, he spends all his prize money on the machine, only to find there was a piece of cheese wedged inside, and all he had to do was pull it out.
Episode 1 also qualifies: while Strong Bad literally achieves his goal of beating the snot out of Homestar, his briefly successful efforts to ruin Homestar's life - specifically, turning him into a publicly disgraced criminal fugitive without a girlfriend - are undone by Strong Bad himself when he has to kick Homestar out of his house.
At the end of the second episode of Hector: Badge of Carnage you find out that you had all the needed evidence from the beginning and all you needed to do was to wait a few hours for the forensic examination to finish. This annoys Hector since it means that he did not have to drug a restaurant full of people and burn down a church
Touhou Project has this in several storylines. Several times, the incidents Reimu and Marisa set out to stop are just some people they don't know temporarily doing something fairly harmless for personal reasons, and didn't bother to tell others, and the plot would have been resolved if nobody had ever tried to resolve the incident. Of course, since there's a climactic (if pointless) battle, and Defeat Means Friendship, the only real result of the story is "Reimu meets new friends".
Immaterial and Missing Power features a plot based around finding out who was causing mysterious parties to take place. When they find out it was just a Hard-Drinking Party Girl oni looking for an excuse to get drunk, they just go ahead and have the parties anyway.
Imperishable Night involves exiled lunarians trying to hide the Earth in a bucket, but failing at making it work properly, so they were going to just abort the plan, anyway.
Phantasmagoria of Flower View revolves around a very large cast of playable characters, many of whom don't even care about the event or want to stop it, anyway, finding out that the incident is a natural occurrence and harmless to begin with.
Mountain of Faith's plot is a new shrine appearing on top of the youkai mountain and telling the Hakurei Shrine that they'd be absorbed. Not a major incident, but certainly cause for some concern. Except that when you get to the god of the shrine they turn out to be perfectly reasonable and the whole 'you will be assimilated' thing was her miko being over-eager.
Undefined Fantastic Object has youkai subordinates of a sealed priestess rescuing her... but she turns out to actually be fairly nice, and was sealed for wanting humans and youkai to get along. Since the modern era is one of peace to begin with and the totality of her plan is establishing a temple, the characters don't really mind letting her go free.
Ten Desires sees hordes of divine spirits appearing. It turns out that this is a side effect of someone powerful reviving... and she finishes doing so before the PC gets there.
Silent Sinner in Blue is probably the most egregious example, as the entire thing is a giant Gambit Pileup where one of the plotters decides at the last moment that she'd rather just get drunk than actually achieve her objective, and steals the lunarian's booze instead of their legendary treasures.
Silent Sinner in Blue is a Shaggy Dog Story. The overall story, Bougetsushou, is not. The full ending is in Cage in Lunatic Runagate, where it turns out that this was all a plot to put the fear of youkai (mostly Yukari, really) into Eirin, and the sake was a perfect choice for doing that.
The first Doom. You fight through hordes of monsters, including literally going to Hell and back... only to find on your return to Earth that the aliens have already invaded. And their first victim was Daisy, your pet rabbit.
Played for laughs in Rex Nebular And The Cosmic Gender Bender. The titular protagonist is sent to a Gendercide-ridden planet to retrieve a valuable vase. Over the course of the game, he loses his ship, destroys a large city, causes the deaths of several people, kills a small dog, suffers through repeated bouts of gender-bending, and gets kicked in the nuts, not to mention averting several deaths by a hair along the way. In the end, he accidentally breaks the vase in front of his customer while arguing about payment. Which they had already agreed on, note.
By Word of God (there would have been a sequel-TC, but it seems to be Vaporware), the Voinian story in Escape Velocity Override is this: all storylines happened, but where all the others had a big impact in some way, the Voinian storyline is effectively rendered moot by the UE storyline — you kill one of the UE's Admirals, but Vice Admiral D'Erlon is talented enough to pick up the slack, you bomb the Emalgha's mining planet into dust, but they still maintain enough production capacity to help the UE offensive, you devastate one of the UE's colonies, but it isn't important enough to cripple the UE... all culminating in the Voinian officer you report to making references to a superweapon project sure to bring the UE to its knees, but it is too important to let humans in on the project — Word of God is said project is the Voinian Dreadnaught, which you destroy in the course of the UE story before it even reaches UE space.
Mass Effect 3: There are cases where the resolutions to various sub-plots either get overwritten by the impact of the ending or are completely ignored from having any real resolution explained.
Saving galactic civilization is rendered moot when the relays explode- without them, galactic society can't function as practical FTL is now gone. The Victory Fleet can't even get back to their home sectors.
All of your True Companions? Well, they're stranded on an unknown planet now with no way out due to the Normandy crash landing there. And at least two of them will starve to death. So much for all that interaction and building you had with them in all three games.
The Citadel explodes, presumably killing every single lovable character there in all the sidequests you did. About a hundred shaggy dog stories in one.
The most visible case involves the Geth War-the most popular ending, Destroy, kills all geth and any other AI in the galaxy as a sacrifice to take out the Reapers.
Via Inferred Holocaust, saving Earth becomes this, since not only will the destruction of the relays ensure a new dark age, but the entire Citadel blowing up above the planet will result in very bad things for the people below.
The Expanded Cut DLC retconned a lot of the endings, removing, among other things, the Normandy crashing (well, it still does, but it gets repaired quickly and the crew leave to reconnect with the rest of the fleet), the relays exploding (now, they simply break apart and are easily repaired, letting galactic civilization go on), and the Citadel blowing up (it doesn't blow up in the Synthesis and Destroy endings, as opposed to the original endings, where it did). However, it added a new ending that is a TRUE Shaggy Dog Story: The Reapers win, meaning that essentially all the crap Shepard goes through was for nothing. At least in this cycle.
Amusingly enough, the original endings still exist in the Extended Cut... as the endings you get when you fail.
In Kid Kool, the goal is to save the king, who is dying by finding the "seven wonder herbs." If the player doesn't finish the game quick enough, the king dies before you even GET to the end. Bonus points since the game's controls are so bad, that it's virtually unplayable.
In the Gameboy game Final Fantasy Legend I, the heroes live in a world that's a giant tower climbing to heaven. They decide one day they want to see what's at the very top. They spend the entire game climbing the tower, and eventually defeat the Creator at the gate to Heaven. Then they decide to just go back home.
While Mondo Medicals was a Shoot the Shaggy Dog story, the sequel, Mondo Agency, settles for just a plain old Shaggy Dog Story instead, with the player going on a mission to stop an assassination attempt on the president and ending up accidentally killing him themself and getting fired.
In the Modern Warfare mission "Heat", you fall back from the enemy's counteroffensive to a planned landing zone at a farm, only to find out that it's too heavily guarded by SAM sites, then you have to trek back down the hill you just surrendered to the enemy to reach the new LZ.
In Fallout, the whole Great War, brought by a lack of ressources, turned out to be this. A few weeks before the nuclear bombs fell the Big Mountain research institute had developed matter replicators that would have made lack of resources a non-issue.
BioForge: Not at the end, but late in the game, once the hero finally learns his past identity, he concludes that it doesn't matter, as - by this point - he can never be that person again.
In retrospect, Might and Magic VIII moves towards this. You save the world... which is then destroyed for unrelated reasons a couple of years later (likely as little as one or two).
The plot of Dragon Age II might qualify, as Hawke never instigates any events, only reacts to them. Even saving the city from the qunari doesn't really count, as the rest of the Free Marches would have stepped in soon. Regardless of whether Hawke sides with the mages or templars—and that comes down to only one decision—you can be as pro-mage as you want in the first three acts and still join the templars, the ending is still the same: Hawke on the run, Meredith and Orsino dead, war between mages and the Chantry.
In Star Wars: The Old Republic, the Imperial storyline on Taris (a planet which was basically wiped out by orbital bombardment in Knights of the Old Republic) apparently happens sometime after the Republic storyline- but in the same place. Which means that after your Republic character single-handedly saves the Taris restoration project, you go back with a Sith character and learn that everything you did has been completely undone. Notably, Republic characters have the option of sending a Jedi to teach a group of Force-sensitive rakghouls how to use their abilities, nicely subverting the rakghouls Always Chaotic Evil characterization in the process. Imperial characters can go to this same group, defeat the Jedi, and convince the rakghouls to go straight back to evil.
The same happens in reverse, but on Balmorra. While Republic players are busy saving the recolonization effort(s) on Taris, Imperial players are taking over Balmorra and securing its weapon production for the empire. However, someone might go on with a Republic player and watch as everything the Imperials did to secure Balmorra is essentially undone, as the Imperials are run off the planet.
Speaking of Taris, it's the first level of Knights of the Old Republic following the introductory tutorial. The player spends anywhere from three to six hours at least running around doing various quests on the planet, only for the previously mentioned orbital bombardment to make all of it meaningless, as all the characters you just helped are now dead.
Particularly heartbreaking when it's revealed in Star Wars: The Old Republic that the group of refugees you guided towards "Sanctuary" in Knight of the Old Republic all died on their way there.
In World of Warcraft, there is a questline in the Dread Wastes where a group of pandaren brewers are attempting to use mantid ambernote which has healing and lifegiving properties in this universe to brew a new variety of beer. The questline is long and complicated and involves gathering two special blades, enchanting them with a specific spell that only sprites can use, and venturing into the heart of mantid territory to do all of this. In the process, you even free one of the Klaxxi Paragons. And after you go through all this trouble, what's the reaction to this radical new variety of beer?