Way of the Gun. Sure, the protagonist’s are assholes, but in the end (spoiler if my spoiler box doesn’t wor)
[SPOILERS]They get shot up pretty bad, left for dead in a Mexican whore house where the possibility of medical attention is INCREDIBLY unlikely, and the gangsters take the money.[/SPOILERS]
Would Butch Cassidy and the Sundance Kid fall into this category?
Yeah, Sauron, that’s a good example.
Speaking of Sauron, he’s put ina draw in FOTR.
Why? He fails to achieve his objective. He still doesn’t have the ring. Yeah, he’s in slightly better shape than the heroes, but Sam and Frodo are drawing ever closer to Mt. Doom. Sauron got more hits, but not enough runs, as it were.
In addition to *Dawn of the Dead[/n], you can include Night of the Living Dead and Day of the Dead.
Phantasm
Count Yorga, Vampire and The Return of Count Yorga
The Evil Dead
In the Mouth of Madness
And depending on your point of view, Chicago, while our sympathies are with the two leads, the fact remains that they are cold-hearted, self-centered murderers, (albeit with legs that go all the way up).
Oh, and depending on you who say is the antagonist, Pulp Fiction.
Some decent suggestions so far…
Although LOTR and SW trilogy don’t count.
Why ?
LOTR is one book and thus one movie broken up in 3.
Once SW became a success, it was known (?) it was going to be a trilogy. In other words, audiences presumably knew while watching TESB that Return of… was expected.
I’m talking about movies that where the audience has no reasonable expectation that the ending in the current movie is only temporary till the second movie starts. Irrespective of whether a second movie does show up 2 years later.
I would suggest No Way Out because the Soviet mole gets away scot-free.
Rocky 
Kingpin. Ernie McCracken wins the ABC tournament (don’t get me started on all of the technical errors this movie had).
The Ring.
Are you referring to the English version
Then, I would say no because …
although the ghost isn’t “killed”, the reporter and son do get away
The Vanishing, IIRC. At least in the original version.
Also, the German film Funny Games. Boy oh boy, do the bad guys win…
Angel Heart
Leon (the Professional) - Not exactly, but it isn’t a happy ending for anybody.
The Comfort of Strangers - Don’t ever watch this movie.
Thelma and Louise - Well they certainly don’t win.
Glory
Sunset Boulevard - Vaguely
reservior dogs.
menace II society
Probably anything involving jesus.
<i>Chinatown</i>
Titanic (i.e. If the antagonist could be an iceberg).
Carlitos Way
A League of their Own (Depending on who is defined as the antagonist).
Goodfellas (Henry Hill got busted and put into the witness protection plan - sounds like a defeat to me).
The Alamo
John Wayne may go down swinging, but he goes down.
On The Beach
Everybody loses
Brazil as they drill a hole through the hero’s head in the end… although you could look at it as everybody got what they wanted.
Das Boot
The Player