Please don't list this on a work's page as a trope. Examples can go on the work's YMMV tab.
Tear Jerker: Moulin Rouge!
The opening, in which the midget sings "Nature Boy", setting the stage for the fact that this movie is going to not end well.
And of course another foreshadowing of the Downer Ending is this line:
Christian (narrating): The woman...I loved... is... *beat* ...dead.
The Ending. Christian's heartbroken, hiccuping cries just add to it.
And also Christian singing the end of the beginning song as the curtain closes and the conductor somberly conducts the orchestra
The finale version of Come What May may count, upon re-watching; as heartwarming as it is, you notice how much Satine is deteriorating during the final scenes, and knowing what's about to happen afterward...
Roxanne. Just Roxanne. Look at Christian's face.
Real Life: Baz Luhrman's (the director's) father, Leonard Luhrman, died in 1999 as production was getting started. The movie payed tribute at the end by saying: "In Memorium: Leonard Luhrman (1934-1999)".