When the Wind Blows charts the slow death from nuclear fallout of an elderly couple after a nuclear bomb goes off in England.
Originally a graphic novel (and also a Radio play). And of course their deaths are the Anvilicious point of the story, meant to show up the absurdity of the British Government's civil defence plans.
Intentionally done in the pilot episode of Ĉon Flux (actually drawn out into six two-minute shorts), in which the main character's guns-blazing assassination mission fails when she steps on a nail and falls to her death, her body and even her apartment being destroyed by her superiors, her assassination target dead by other means, and her entire shooting spree of a mission being futile.
The second season, dealing with the question "How do we do a sequel when the protagonist is dead?", turns this trope up to 11 by having her die (pointlessly) in every episode.
The continuity-less series kept the protagonist alive (mostly), but episodes often end with the trans-humanist Big Bad being right and when the protagonist is successful, she's successful in unwittingly destroying humanity.
In the movie version of The Plague Dogs, the movie ends with the two dogs swimming out to sea and drowning after their fox friend had just sacrificed himself to give them time to escape; this wasn't how it was in the book—see above. The real kicker is that many people prefer the movie ending, that's how bad the Deus ex Machina was in the novel.
Also the OJ Simpson episode. After building up that they shouldn't just assume that OJ was really guilty, at the very end he stabs a couple people to death and runs off, ending with Peter saying "Oh, I guess he did do it then."
Although he then gets shot by Bender's death ray to get "fast-fossilized".
Which is still better than the original ending, as this time the dog got to see Fry again, which in the original timeline he did not, and died a quick, mostly painless death, which in the original timeline was slow and cruel.
In one Looney Tunes segment ("8 Ball Bunny"), Bugs Bunny comes across a penguin. After swearing he would help the penguin get home (after regretting making him cry), he finds out that penguins come from the South Pole ("South Pole?! Ooh, I'm dyin'!"). He tries to help the penguin to the Antarctic, going through hell and high water to do so, only to find out when he finally gets there that this was a domesticated performing penguin who lived in Hoboken ("Hoboken?! Ooh, I'm dyin' again!"), and he just dragged him several thousand miles for nothing. It would be just a regular Shaggy Dog Story, except that the usually calm, impossible to beat Bugs suffers a mental breakdown because of it.
This trope is cruelly used in the Private Snafu short "The Chow Hound", in which a bull gives his life to be turned into meat to be delivered to Snafu to feed him in order to fight the enemy. Unfortunately, Snafu has eaten so much already by the time the package arrives that he throws out the bull meat, such to the chagrin of the Bull's ghost.
Another memorable one is that one of Cyberton's satellites comes to Earth looking for the Maximals. The group quickly puts together a beacon in hopes of contacting it, but the Predecons get wind of their actions and a fight ensures. Just when it looks like the Maximals will get the signal out, Megatron manages to get in a last minute shot and destroy the beacon, vowing he won't let them leave until he wins the ongoing battle between the two groups.
The South Park episode "Stanley's Cup", a Mighty Ducks parody which ends with a pee-wee ice hockey team being beaten bloody by a professional team, and their teammate dying of cancer. "Woodland Critter Christmas" also qualifies, to a lesser degree: the episode consists of a story written by Cartman in class for the sole purpose of saying Kyle died at the end.
And then those woodland critters turn out to be the most evil monsters ever created by anyone's imagination.
In the episode, they again shoot...and violate (In That Order)...a beloved children's character; scaring the crap out of Jason Voorhees.
There was also the massively drawn-out prank played on the boys by two amusement park employees to make them think that a whale was sentient, leading them to kidnap the whale and eventually condemn it to death by blasting it to the moon.
"Whoopie-Ti-Yi-Yo, Farewell, Magellan. You almost made it, it's really not fair. Whoopie-Ti-Yi-Yo, oh Ghost of Magellan, the East Indies Islands were right over there".
An episode of Jimmy Two-Shoes had Jimmy trying to keep Lucius from destroying "the last non-miserable spot in all of Miseryville." In the end, he manages, and Lucius calls to cease-fire... but Samy and Molotov mishear it and think he ordered them to fire.