I think there are plenty of "mainstream" movies where the good guys don't exactly get away clean. Almost all of mine are horror though. I love horror movies, except I wasn't too crazy about Cabin in the Woods.
30 Days of Night
The Road
The Descent
The Cabin in the Woods
John Carpenter's The Thing
Insomnia
Anoni Mus said:
The Mist.
But I'd like an example of an epic story/adventure and then the bad guys win.
Hell yeah, The Mist. Bad CGI but the plot is almost entirely faithful to the original short story, which I loved.
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Boys Don't Cry
The Last Seduction (woooooo! Featuring a young, hot Linda Fiorentino)