The final episode of There Will Be Brawl has one with Link. After revealing that he survived being stabbed by Zelda, he rallies her back to the side of good, only for them both to be killed nigh instantly.
Gemcraft: Episode Zero ends with the player grabbing the Gem of Eternity and instantly start turning into the Forsaken, the narration explicitly states that no matter what you do the corruption will eventually take of completely. Worse, it's a prequel and canonically the next person that comes along (that is, the player of the original Gemcraft) kills the Forsaken... and gets possessed.
In the Homestar Runner toon "Homestarloween Party", Strong Sad concludes the story being told by the characters this way. It doesn't go over too well.
Red vs. Blue: Wash comes into the Valhala valley looking for the Epsilon Unit. Before he even says a word, he just shoots Donut and Lopez, neither of whom had anything to do with the Epsilon Unit getting stolen. And now, Donut's Killed Off for Real.
Or at least, he was.
Though it still gets worse when you consider everything from the viewpoint of Simmons, Lopez, and Donut: without even a hope of defending themselves against the Meta, who'd found the base they were relocated to, they tried to find a way to escape. They couldn't, and when Washington showed up right before the Meta would have killed them, Simmons was sure that they'd be safe.
Sintel. A young girl befriends a baby dragon only to see it snatched away from her by a larger dragon. She quests to find and rescue her friend, searching for what seems like forever before finding the dragon's lair and confronting its owner, only to find after mortally wounding the dragon that it bears the same scars her dragon suffered as a baby. She had traveled all that way and not only failed to rescue her friend, but she killed him herself.
The Grickle short,"The Smartest Dog In The World" story consists of a dog trying to save his dying owner. The dog looks up a map to the nearest hospital, find diagrams on how to ride a motorbike, places his unconscious owner on the back, leave the garage... then promptly crash through a wall three houses down, which causes the motorbike to burst into flames, killing them both AND anyone who may have been inside the house at the time. At least the cat survives.
Played for Black Comedy in The Nostalgia Critic's James and the Giant Peach review. He's let out of jail on the condition that he'll do a positive episode on a film everyone likes, he has to praise it constantly otherwise he'll be hated again, and when he finally does give his honest opinion (he doesn't like the movie but can see why people do), he gets massacred by all the guns pointing at him.
A mild version is present in Manwhores. Even after Kevin gets up the courage to go out to Dead Man's Cove for the job necessary to save their apartment and bail Randy out of jail, and then confronts/seduces his ex-girlfriend, now the VP of an entire bank chain ("It's been one week!"), Kevin and Greg are still busted for prostitution and sent to jail.
Romeo And Julieta. Unlike the source material the deaths of the protagonists fuel no ultimate good or bittersweet outcome whatsoever. No, here they are shown building up a mutual bond solely to be brutally killed. Additionally, the humans responsible suffer no retribution, and it's possible the don't even realize what they've just done, or do and are just bastards to the point of not caring.
The Saga of Biorn. The title character is an old Viking warrior who seeks an honourable death in battle in order to go to Valhalla. Should he die another way, he will be forced to go to Helheim, which is very boring. He fights many tough opponents, but they always end up dying due to some fluke. He finally gets his wish when he rescues a church full of nuns from a giant, dying in the process. In the afterlife, he eagerly ascends the stairs to Valhalla, his arms being loaded up with weapons in the process. Meanwhile, the nuns honour their rescuer's Heroic Sacrifice by giving him a Christian burial service. Just as Biorn reaches the top of the stairs, the gate to Valhalla is replaced with the gate to Fluffy Cloud Heaven, and all of his weapons disappear. The gate opens and reveals that Heaven is exactly like Helheim, only with nuns.
"The Grand Heist" episode of Achievement Hunter's Let's Play Grand Theft Auto V is a particularly cruel one. The team had pulled off an incredible heist with Ray pulling off a Heroic Sacrifice to get the rest of the gang airborne in a Titan, with Gavin in the controls. The team is flanked by helicopters, but Gavin's doing his best to keep them in the air, but he over corrects and stalls the plane. He could have easily corrected this, but by sheer dumb luck, a helicopter gets under him and causes the Titan to explode, killing the rest of them.