I recently saw Stalker and it's fantastic. Depressing story and ending, but I loved every single second of that movie. So damn good.
Aside from that, not sure if Kagemusha counts (I think it does). That one's really good as well.
Oh, yeah. Spring, Summer, Autumn, Winter... and Spring. Go fucking watch it right now! Beautiful and amazing movie, but nothing happy ever happens and everything ends poorly.
Can't think of more off the top of my head that haven't already been mentioned.