Video Games: Dawn of War 1's ending was pretty awsome, Gabriel Angelos looks a demon/god thing in the eye and basically tells it to go fuck itself and then just walks away, no fear or anything because he's just that awsome. TIE Fighter's ending has you rescueing the fucking Emperor with Darth Vader as your Wingman, yes please.
Anime: A few good ones. Gundam 0083 had quite the bittersweet ending, but it was a nice change from standard gundam "and the liberals made the whole world better NO EXCEPTIONS". Chrono Crusade (I refuse to spell it Chrno) basically takes this to it's logical extreme, and pulls it off rather well. Kaishaku (a studio) does pretty good endings (in anime, avoiding their mangas like poison is a good way to go).
Film: Passchendaele, Der Untertang, Original Star Wars movies, Dark Knight.
Literature: The Hunchback of Notre Dame(and I don't mean the disneyized version), suprisingly, some of the Halo books, Rainbow 6.