In Gallipoli, the evil of the British army using the Australians as a decoy wins out in a tragic ending.
The Astronaut’s Wife.
Oh, and The Bad Seed.
OK, I’m back we can REALLY time travel now.
• “A Fool There Was” (1915). Theda Bara’s first starring film, one of many where she played Evil Triumphant.
• “Red-Headed Woman” (1932), a Jean Harlow movie where she sleeps her way to the top and ends up rich and happy in Paris. The censors had a FIT.
• “Baby Face” (1933), in which Barbara Stanwyck is even more evil than Jean and also ends happily.
“In the Company of Men” - 1997 (Great low budget gem)
The Talented Mr. Ripley
How are Alfred Hitchcock’s “The Birds” …no winners there.
What, nobody posted Pulp Fiction yet?
Then again, was any main character innocent in that movie?
Collosus: The Forbin Project
A luddites worst nightmare.
Monty Python and the Holy Grail 
The Vanishing (the Dutch/French version; I think the horrible American remake ends on a happy note)
[ul][li]Fail Safe[/li][li]Dr. Strangelove[/li][li]Breaker Morant[/li][/ul]
The Molly McGuires
Event Horizon - evil wins - literlly (even id the movie sucked)
Starship Troopers - the evil Nazis win
Apocalyse Now - I guess madness wins
Dammit, Poysyn beat me to it!
I was going to say Swimming With Sharks
It depends on how you look at it. In ED2, we learn that the lightning-speed evil force shot is merely the evil entering Ash. (<hijack my own post>What is it about Ash that the evil bounces in and out of him willy nilly? It’s pretty much a death sentence for everyone else.</hijack my own post>)
Even looking at ED1 as a stand-alone film, the evilness doesn’t nessecarily kill people (it leaves one of the girls in the cabin for a little while while she pleads with Ash to help her). You could argue that this is a ploy by the evil force, ala Linda’s disembodied “normal” head in ED2, but it didn’t feel that way to me.
Just to bring the whole series into play, you might say that evil wins in the “Planet of the Apes” ending of Army of Darkness. I guess ignorance really wins in that one, seeing as how Ash is too damn stupid to count the drops of potion…
The Brood and The Omen.
Two films mentioned that do not necessarily end as badly as you think: 12 Monkeys and Apocalypse Now.
Cervaise: I always thought Billy Jack copped out at the end. Given the times and the general conservatism of the Arizona police, he should have been riddled by bullets at the end.
I also think Strange Days should have had a downbeat ending, but once again Hollywood cops out.
American Beauty. Although it’s arguable that Colonel Fitts was really evil. He was really just frighteningly homophobic.
Glory - unless you’re a confederate supporter