Kingdom Hearts (any of them really, all the endings were really good... well, I haven't played Chain of Memories or Coded, but other than that

)
Gears of War 3 actually had a very good endíng in my opinion, but I also kinda really liked the story in those games so I suppose I just have no taste
Half-Life 2: Episode 2. Just... Wow!
Mass Effect (Escpecially M4 Part II by The Faunts, kickass song) and Mass Effect 2, haven't tried the EC yet but I'm one of the people who didn't mind the ending too much except for the lack of closure, so we'll see how I feel when I get around to playing it again.
Journey, helped alot that I only met one player through the entire game and we stuck together to the very end, and we actually walked into the light together.
AC Revelations. Actually seeing the finale for Ezios story was awesome, and it was such a good ending too.
Prince of Persia: The Sands of Time really got to me back when I was just a kid of 12 years, I really hoped for a happy ending but it just didn't happen.
I think those are the ones I can think of off the top of my head.