Most of the great movie endings seem to be either depressing or have the bad guys come out on top.
Another few great ones:
Inglorious Basterds
The Empire Strikes Back
Psycho
Planet of the Apes (the original, not that Tim Burton horseshit)
The Killing
Apocalypse Now (probably my second favourite ending after The Godfather)
Monty Python and the Holy Grail
The Shining