Concerned: The Half-Life and Death of Gordon Frohman is a great example of this; after all his adventures, the title character accidentally deactivates the 'Buddha' cheat code and dies, broken and bleeding, at the base of the Citadel. Too be fair, the comic's title should have been a hint.
Filthy Lies. The artist got sick of doing the comic and dropped a giant septic tank on the protagonists. Then he realised he missed doing the comic, so they got better. Even this, however, was better than the second time around of the artist getting sick of doing the comic, and just stopping.
The GOFOTRON Arc of Sluggy Freelance would be a good example of this (although not for the main characters). It would take too long to explain the entire plot, so basically it's an entire 2 and a half month plot arc where Torg, Riff and Bun-Bun are transported to another universe, which is set up as an epic futuristic soap opera, with many characters introduced. In the end, the entire universe is destroyed (the main characters escape, though none of the natives do). And then it turns out the universe was just created as part of an experiment by an alien race to find a new form of energy. Then it turns out that the company is a waffle iron company, and the entire purpose was to find a new way to power waffle irons!. Oh, and the company decided to pull the funding.
Falcon Twin (link): All of the time and effort that the protagonist spends trying to get back to her own Crapsack World is completely wasted because her (not)girlfriend decides that leaving her to bleed to death in a burning building is an OK thing to do, even though medical attention isn't unreasonably far away. However, considering that the tone of the entire series and the veryEMO protagonist both come from well beyond the Despair Event Horizon, could you really expect any other kind of ending?
Homestuck: The White Queen abdicated her throne, escaped to Earth, met up with the remaining exiles, and was almost ready to leave for a new universe with the survivors and her recently-awakened husband as part of a lengthy plan. And then Jack appeared completely unexpectedly, killed them all (except PM) before they could do anything, then did exactly what they seemed to be trying to avert. The worst part of it all is that even after Jack appeared, they still could have accomplished something if AR had finished his job in time, but he couldn't bring himself to destroy the station containing WV, sealing their fates (and then WV got impaled anyways). On the other hand, PM survived, put on the White Queen's ring, and followed him to the trolls' session with just one thing clearly on her mind, so a potential subversion?
And she brought WV with her, dropping him off with the main characters so they could get him some healing.
Boxdog: On Boxdog's ninth birthday, she couldn't decide if she wanted a vanilla cake or chocolate cake. Since she couldn't choose one or the other, her frustrated mother offered to skip the cake for the whole day. Boxdog then replied that she could have either one, but wanted vanilla more. As such, her parents went off to the store, but ended up picking up a chocolate cake. As they were driving home, a drunk driver blindsided them, their car flipped over on her front lawn and her mom and dad burned alive, trapped in the car.