With a book I have to go with "The Sight" by "David Clement Davies" ... I mean it had a kind of happy/sad/moral ending by the time it wrapped up but those last few chapters and events...
With games, i'm gonna have to go with FFX... shame they made X-2 to be honest, that ending was perfect as it stood (in my opinion at least)
Films, well Brokeback Mountain, All Dogs Go to Heaven and Dragonheart (another happy/sad one by the time it wrapped up)
And finally, I know its been the brunt of many jokes and parodies over the years, many people dont take it too seriously but have you ever seen a production of or read the script of "Romeo and Juliet"... seriously if you take a moment to take the story to heart and truely think about it, the ending is just tragic, when I went to see the royal shakespear company perform it, I was in tears.