Silent Hill 2, Final Fantasy VII: Crysis Core, ICO, and SotC. Great endings.
More recent games - Portal 2, Half Life 2: Episode 2, Amnesia: The Dark Descent, The World Ends With YOU, and Persona 4.
I especially like Silent Hill 2's good ending - it's so simple, using a method used a million times before, but the way that method is used is what makes it so unique yet so beautiful and relatable - but, now I'm just going on a tangent. Although I do think the DOG ending's more funny, it's a horror-game. It's supposed to be horror-y, not funny.