There aren’t too many. Even a depressing movie usually has some uplifting note at the end. (First to mind is The Ice Storm, one of my faves.) Sometimes it’s two previously antagonistic characters (like fighting spouses) sharing a smile; sometimes it’s a beautiful sunrise at the end of an intense, unpleasant night. But there’s usually something that is supposed to instill a sense of hope in the viewer.
One movie without even the slightest semblance of a happy note at the end is Osama. (Which, if you haven’t seen it, has nothing to do with Osama Bin Laden.)