I have yet to se an ending so screwed up and disturbing that I remain slack jawed. I've seen some good twists, but none that are intensely disturbing and messed up. My friends all say I could probably do something like that.
I really wish to experience something that actually makes me yell out loud "What the hell!?" Maybe if I become a writer, which seems like a probable profession for me, I can design something like that.
Although I can give a few honorable mentions. Spoilers, but I don't know how to use the tag
F.E.A.R 2: You literally get raped by a dead chick. Hope you're happy.
The Mist: The guy kills his wife, son and an elderly couple so they don't die horrible painful deaths at the hands of the monsters, only to have rescue arrive exactly 24 seconds later.
Silent Hill: Shattered Memories: You realize that the person in the Psychiatrist's office who is thought to be you is actually your grown up daughter who you've been looking for the entire game trying to cope with your (unknown to you until just now) death 18 years earlier. You figure out that you're a memory made into a being by your daughters immense love and the supernatural elements of the town. You then give your daughter a hug, telling her you'll always be with her, then slowly freeze over and die.