Batman: War Games. A Batfamily member and an ally die along with hundreds and cops and civilians. Black Mask becomes the leader of the unified gangs of Gotham. And it is entirely the Batfamily's fault, to the extent that that incarnation disbands.
Cosmic Boy: Rokk and Lydda do figure out who is altering the timeline, but they can't do anything about it and barely escape from them alive, and even their escape was facilitated and controlled by the villain who intended for them to do so. Rokk and Lydda did nothing to hamper the in progress plot to erase history so that all that's left is the entropy that exists at the end of time, instead they're sent to wait to be erased along with everyone else they love when Time Trapper reaches their time period.
Surprising for the Silver Age, but this and a side order of Heroic Sacrifice was the fate of the original Doom Patrol. The bad guys gave them a chance of saving their own lives or 14 lives in a fishing village, and the Patrol told them "Bring it on!"
Doom Patrol: The original Silver Age run ended with Captain Zahl and Madame Rouge murdering every member of the Doom Patrol and getting away. While this was definitely a case of Pyrrhic Villainy for Rouge, who lost the man she loved and what little remained of her sanity, it was a flatout victory for Zahl, a victory that stood unchallenged until 1982, and was never fully undone in his lifetime (only Robotman had returned from the dead at the time of Zahl's own death).
This trope is deconstructed at the "Going Sane" comic: After The Joker believes he killed Batman, he decides to become Bored with Insanity, gets a treatment for his skin condition, looks for a job, knows a nice woman and tries to live a new, sane life. Then he learns The Batman survived and it's business as usual...
Death of the Family ends with The Jokersuccessfully bringing about the metaphorical death of the Bat-Family, breaking or greatly hurting most of Batman's allies' trust in him.
At the end of the Sinestro Corps War storyline in the Green Lantern comics, although Sinestro was defeated in the final battle, he reveals that the whole point of the war was to get the Green Lantern Corps to use lethal force, and he has succeeded.
DC had Earth-3 where an evil Justice League called the Crime Syndicate ruled the Earth. But Grant Morrison's JLA Earth-2 version of the Crime Syndicate took this a step further; evil always wins in this universe and the Justice League of our earth along with their heroic Lex Luthor are doomed to failure just as bad guys are doomed to failure in the normal DCU.
The short-lived DC comic Ninja Boy ends this way. It sets things up like a typical hero's journey story, with protagonist Nakio trying to become a full ninja and defeat an evil lord. Over the course of the series, he gathers a group of companions and sets out on his quest. But he never even gets close to his goal, and the final issue consists of a showdown between the heroes and a group of henchmen. It's a complete bloodbath, and the heroes all die horrible deaths. The last panel of the series shows a villain kicking the smoldering corpse of his best friend, a Pikachu-like critter, off a cliff. The end leaves a last minute spark of hope of survival for Nakio, but it is unlikely that this will ever be picked up upon.
In "And So My World Ends", one of several stories that is often viewed as marking the line between the Silver Age and Bronze Age, the Justice League arrive on the scene only to discover that Martian Manhunter adversary Commander Blanx has already won, exterminating the whole Martian race, save himself and J'Onn. In the end, the most the League can do is bring him to justice for his crimes.
New Krypton sees General Sam Lane and Lex Luthor successfully trigger a war between New Krypton and Earth, and in the process, render the Kryptonians all but extinct. While Lane commits suicide in the aftermath, Luthor is not even punished, and is hailed as a hero for his actions, regaining control of LexCorp and being pardoned for all his sins in the process.
Brother Blood broke the Teen Titans' winning streak in the 1980s by arranging things so that their attack on his citadel only gave his cult credibility in the eyes of the world, ending with him framing Cyborg for his own murder while his followers wait patiently for his return, and bam, that was the end of that story arc.
But continuing with said deconstruction, it's not nearly so pat (Dr. Manhattan even points it out before he leaves). The plan was unnecessary if you pay attention to the background information, and documents that could cause the entire edifice to collapse are in the hands of people who can expose them. It all comes down to whether one man picks up one diary. Doomsday Clock ultimately proves this true.
The Avengers story "Operation Galactic Storm." The Supreme Intelligence completely masterminds things to get the Shi'ar to hit its own race with a Nega-Bomb in order to reignite the Kree's evolutionary cycle, even though it means killing most of the race. When the team finds out one half led by Iron Man attempts to kill it for causing the genocide, and they seemingly succeed... only for the very last page to reveal that it saw their actions coming a mile away and faked its own death, leaving it free while everyone presumes it to be destroyed.
The Clone Saga ends with Spider-Man's clone that he loves like a brother Ben Reilly being impaled by Spider-Man's nemesis Norman Osborn. Norman had previously killed Peter's girlfriend Gwen Stacy. Ben's last words to Peter are to remind Peter's daughter of her uncle Ben. Of course this is a moot point since Norman already had Mary Jane poisoned and she presumably lost the baby. Ben didn't know that though.
The Vulture (Adrian Toomes) has had an astonishingly high success rate in accomplishing various goals over his career:
Willed himself to health to defeat an usurper who tried to kill him in prison? Check.
Eventually killing the man who betrayed/ruined him financially? Check.
Doctor Octopus essentially won the long game by taking over his body and starting Superior Spider-Man...and to make sure, he made Peter Deader Than Dead by erasing his brain waves in issue 9. But some would say he suffered the greatest loss of all in the end, when he realized he was a failure who had caused more disasters than he ever could have prevented, and restored Peter, deleting himself from existence.
Dr. Doom with, well...◊ While some could say this story did have a happy ending with Doom cooperating with the Fantastic Four for mutual benefit (Valeria was born unharmed, as Doom was able to prevent Sue's miscarriage that "killed" her the first time, likely saving Sue as well) Doom's benefit was greater, and possibly his greatest victory to date in his feud with Reed. He was able to tell Reed to his face, with absolute truth, that he had succeeded where his rival had failed.
In a more traditional sense, Doctor Doom has on more than one occasion succeeded at plots to Take Over the World and defend his dictatorship successfully against heroic rebellion, eventually yielding his position out of sheer boredom.
Mister Fear in the "To The Devil, His Due" and "Without Fear" arcs of Daredevil: Not only does he does cause irreparable damage to the hero's life, but his powers only make life in prison a veritable paradise that he can leave at his leisure to once again torment the hero.
In Ultimate Thor Loki betrays Asgard and leads the Frost Giants and a full Nazi army (with machine guns, tanks and modern military hardware) against it. Asgard is destroyed, and everybody dies.
The Infinity Gauntlet For most of the story this is the case where everyone that attempts to take on Thanos ends up get beaten by him including the most powerful cosmic beings and then somewhat zigzag when Thanos is finally defeated but it is reveal that he let himself lose because deep down he feels he does not deserve to win.
In Journey into Mystery Kid!Loki manages to save the day against all odds. But his true Arch-EnemyOld!Loki has trapped him in a situation forcing him to choose between letting Mephisto run amuck as the new king of Hell with the Fear Crown Kid!Loki created or saving all of reality by destroying the Fear Crown which can only be done if Kid!Loki allows Old!Loki's memories to overwrite his own, completely erasing Kid!Loki from existence. Kid!Loki chooses the latter, though he takes one last parting shot at Old!Loki, calling him out on his Chronic Villainy.
Marvel Two-in-One Annual #7 featured the alien Champion of the Universe defeating all of the heroes that trained to fight him, but he ended up sparing the Earth because he found Ben Grimm (aka The Thing) to be a worthy opponent.
The backstory of Wanted is that this happened 20 years ago. Also, the outcome of the series itself no matter which side wins.
Minor example in a Transformers Energon toy pack-in comic. Normally mini-comics packaged with toys are a page or two to advertise the rest of the line. Good guys are minding their own business when the bad guys show. Good guys show off their features while driving bad guys back. The end. In this case, though: Inferno, Prowl, and Landmine find some energon. Megatron shows up. Inferno dramatically combines with Prowl to form... Powerlinx Inferno! Landmine dramatically combines with the parts of his vehicle mode that aren't normally part of his robot mode and becomes... Landmine Brute Mode! And together they... get curbstomped by Megs and his new Terrorcons and are sent scurrying away with their tailpipes between their legs while Megatron laughs at them. The Decepticons take all the energon. The end!
Halloween Nightdance Long story short Michael Myers ends up killing all of the characters in the story including the main character Lisa who ends up getting Buried Alive. Ryan who attempted to help save the day is framed for Michael's crimes and is shot to death.
Sin City short stories often end with the bad guys winning. The most well-known example of this is in Daddy's Little Girl where an incestuous father-daughter couple kill the protagonist as a means of foreplay. The main stories play with this trope. Even when the heroes die or their lives are destroyed, the villains suffer great losses as a result or even die themselves.
Sszzaas, the god of betrayal, manages to get his place back as a major god by manipulating all the other 19 gods plus all the characters in the story, thus regaining all the powers he had lost upon his banishment. With this, all of his cultists also get their full powers back, including Nekapeth, the high priest of Sszzaas, who had been working with Arsenal the whole time for this end.
Arsenal, high priest of the god of war, and manipulative father of the female lead manages to get the world's Infinity +1 Sword, which is capable of killing anything with just one slash, this sword being his main objective since years before the story even begins.
Also hilariously done during the arc where the characters went on strike against the Bloom County Productions, Inc, and its fat, greedy boss, W.A. Thornhump III. The issue at hand was the continually shrinking size of the comics page. (something Berkely Breathed had himself found annoying). Eventually, Steve crossed the picket line and the "employees" didn't get anything, the only comeuppance delivered to Steve. (Who was pelted with eggs by Opus, but little else.)
Superlópez: Thanks to an ironic twist ending. The unnamed Mad Scientist in Chiclón Attacks wants to get rid of all the noise of the big city... by attacking the city with a giant robot and forcing everyone out. For his troubles, he gets put in a prison cell... where he can finally enjoy some peace and quiet.
Judge Dredd: "Dark Judges: Dominion" is a pretty depressing example. It's told in the form of an Apocalyptic Log by a woman whose space colony was attacked by the Dark Judges, omnicidal monsters who believe all life to be a crime. After starting a Zombie Apocalypse they kill everyone on the planet with the last survivor knowing that they'll find her eventually and pledging to save her last bullet for herself.
Mojo Jojo wins in the final DC Comics story of The Powerpuff Girls, "Smart And Smarter" (issue #59, Cartoon Network Block Party). Blossom lets her ego swell after being admitted to a school for exceptionally smart children to the point where she alienates her sisters and Mojo. In a mano-a-mano battle, Blossom shoots her ice breath at Mojo, who counters with a heat shield. The trail of melted ice reaches Blossom's foot (which she doesn't see) as she emits static electricity from her hands. The result: Blossom gets fried to a frazzle from electrocution. The story ends with Mojo and Buttercup shaking hands.
Micronauts (IDW) ends with Baron Karza successfully dispelling the Entropy Cloud and escaping back to Microspace before the heroes, setting himself up as the dimension's savior and ruler, while branding the Micronauts traitors.