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.)
Voyager, based on the novel Homo Faber by Max Frisch, has a very downbeat ending what with the main character sitting in despair and wishing that he’d never existed.
The Mission - great flick with Jeremy Irons and Robert DeNiro in colonial Brazil, definitely no happy ending when the Portuguese arrive to take over.
Mosquito Coast - a Harrison Ford movie that’s usually forgotten, because it’s nothing like Raiders or Star Wars, and Harrison’s not a particularly likeable character here. River Phoenix co-stars as his son.
Spoorloos, also called The Vanishing - fantastic movie about a man’s obsession to find out what happened to his girlfriend who disappeared while they were on vacation.
When I saw **Das Boot ** and the message flashed on the screen at the end of the movie to the effect that “XXX number of German submarines went to sea and the overwhelmingly large number of them were sunk”, the audience broke out in cheers and clapping; I joined in. Those subs were trying to sink the ship my father was on.
Funny Games, unless you find yourself rooting for the two killers.
In Uzumaki (Vortex), things get progressively out of control, ending with a final chapter that’s just still images of the remaining characters being horribly killed.
Kairo (Pulse) ends with the last survivors on earth giving up and collapsing into dust.
Dude, Love Liza. Philip Seymour Hoffman’s wife commits suicide, he finds the sealed suicide letter, and gets into huffing gasoline while trying to decide whether to open it. He finally opens it and gets no resolution, then wanders down the street in his bath robe. THE END.
Grave of the Fireflies always has to be mentioned in answer to questions like these. It starts with the main character already dead, and just goes downhill from then on.