I remember almost every film I watched and game I played would have the classic ending where everythings happily ever after, I realised I was sick of watching the hero foil the villain without so much as a wound when I was rooting for the Nazgul when watching The Fellowship Of The Ring.
I personally like a little variety, if i make the option to take out the bad guy work should dry up or Dr Manhatten style the people you worked to save could turn on you.
I hae noticed your point of recent fantasy games going the path of Good = Depressing route though but remember if devs only just figure out how to sort out basic moral choices it'll be a while before they get a wider array of reactions for what you do.
Or if you just wanted a classic "Happily ever after" i'd suggest...erm.
Damn, almost all the games on my shelve either end badly or with blurry moral based endings..