Cracked.com has the following timely article; 6 Movies That Didn’t Realize They Let The Villain Win.
Miracle on 34th Street. Seriously. Study the subtext, people!
All right, I’m kidding. I came to say The Usual Suspects but several people beat me to the punch.
You know, the greatest trick Santa ever pulled was convincing the world he didn’t exist.
La vita è bella, Life is Beautiful.
Yes, the bad guys won.
FUCK 'EM. Dad won too.
Altman’s The Player.
The original English version of the film at least leaves this an open question, with a slim chance that the Duke will be able to scoot back into the gaol, retrieve his memoirs and escape punishment. The altered American version actually shows the memoirs being discovered.

The Omen
Original baby dies.
Babysitter dies.
Mom dies.
Photographer dies.
Dad dies.In the end Damien walks home happy and free with a political powerhouse.
He wins in the original and in the first sequel, but loses big time in the third movie.
Doesn’t really qualify as “best” but Cruel Intentions 2 ends with the bad guys winning.

La vita è bella, Life is Beautiful.
Yes, the bad guys won.
FUCK 'EM. Dad won too.
The bad guys did NOT win in Life is Beautiful. Yes, Guido dies, but he also saves his son, and his son does not lose his faith in the goodness of the world. Guido, Aslan, and I all call that a win.
I nominate Alfred Noyes’ The Highwayman. Sure the main character is, after all, a highwayman, and so perhaps he isn’t THAT good, but he seems noble. And Bess certainly counts as good. And Tim the ostler and the redcoats are major dicks. The first time I read it and got to the “Back, he spurred like a madman, shrieking a curse to the sky, With the white road smoking behind him and his rapier brandished high!” part I thought, “Highwayman ‘bout to open a can of whoopass!” Then it ends the way it does and I went, “Huh?”
While the “best” tag may be debatable, all of the Phantasm movies end with the bad guys winning.
I’ll also nominate John Carpenter’s Prince of Darkness and In the Mouth of Madness.
Surveillance. A fantastically twisted, sometimes heartbreaking, sometimes gut-busting hilarious, often Silence of the Lambs level disturbing, little flick I just caught on cable the other night. Jack recommends.
*Elmer Gantry *by Sinclair Lewis
In the Song of Fire and Ice series, it looks like quite a few bad guys, Littlefinger, i.e., are coming out ahead.
Twin Peaks.
Poor, poor Agent Cooper.
I guess it might not count, being a dramatised historical event, but A Bridge Too Far would meet the “best stories” requirement – and is a personal fav movie.
Most of Operation Market Garden succeeded, but seeing as how this story is focused on the British Airborne (and the drive by XXX corps to relieve them), which did not succeed, and the Arnhem force lost 80% of its 10,000 troops (1,500 killed, 6,500 captured) I think it meets Skald’s OP… and I think we can call General Bittrich and the 2nd SS Panzer Corps “bad guys” for this.