Videogames:
Ico had one of the most touching endings I've ever seen in a videogame.
Metal Gear Solid 3: Snake Eater had my favorite ending of the Metal Gear series, it was both epic and fairly light on the conspiracy mumbo-jumbo.
Final Fantasy X had my favorite ending of the Final Fantasy series, it's very sad, even with the happy ending of X-2 afterwards, the original ending still makes me weepy.
Final Fantasy XII, not my favorite of the series but it's just so damn star warsy that I couldn't help but love it.
Chrono Trigger has my favorite happy endings, pretty much any of the ones where you revive Chrono and to go the millenium fair.
Uncharted: Drakes Fortune, my favorite "simple" ending, it's just so action-movie-alicious.
Silent Hill 2, pretty much every ending in this game is brilliant, my favorite is the "leave" ending.
Mass Effect, a pretty epic closer to a pretty epic game no matter what paths you take.
Other:
Babylon 5: Sleeping in the Light, An excellent farewell to a great show.
The Ideon: Be Invoked, everyone fucking dies in the most epic and tragic way possible before being resurrected by the will of the universe and carried forward into enlightenment.
Eureka 7, love saves the world in one of the most epic and happy endings I've ever seen.
MASH: Goodbye, Farewll and Amen, probably one of the best Series' Finale's ever put to film, very funny, very emotional and very, very good.
Kill Bill: Part 2, I really loved the Spaghetti Western feel of the ending, it was a very interesting and remarkably peaceful way to close such a bloody story.
Once Upon a Time in The West, The Frank vs. Harmonica showdown is probably Leone's best One on One shoot out in his career.
The Mission, well I cried, it's a very sad way to end a film.