My vote would have to be for Unfaithful. I left the theater feeling sick and empty after this movie ended.
I dunno. Diane Lane gets naked in it - that contributed to a happy ending for me…
(OK, I haven’t seen it, it was just a joke.)
I thought the French musical The Umbrellas of Cherbourg had a downer of an ending.
The two main characters are OK in their current lives, sure, but it’s basically a romance movie where the main couple doesn’t end up together. And one of the main points is that they end up apart due to corrosive effect of the Algerian war on daily French life, it seemed to me. So that was kinda sad.
Perhaps this doesn’t really count since it’s based on someone’s life story, but I’ve never seen an audience walk out of a theater more somber than when I saw Quills.
As I recall, Twelve Monkeys ends with Bruce Willis dying with the knowledge that not only has he failed to save the world, but that he will repeat this failure, over and over, forever. It’s so starkly bleak, it ruined my day. GREAT movie, though. 
I didn’t read it that way- as he manages to change the past (by sending the message about the fact the lead they’re following is a dead end), and the lady in the blonde wig smiles at the end instead of looking sad. In short, he might have to repeat the scenario a few times over, but eventually he’s going to succeed in stopping the virus carrier.
Also, the purpose of his mission wasn’t to stop the carrier, it was to obtain a sample of the virus in a pure form- hence the “I’m in insurance” line at the end. They know who is responsible for the outbreak, but whether or not they actually stop them (or simply take the virus back to the future for study) is never explained.
Either way, Bruce Willis does, in a round about kind of way, succeed, so I didn’t think the ending was all that bleak, IMHO.
I nominate the film The Grey Zone. (Warning: Link has spoilers.) It’s a holocaust film that makes Shindler’s List seem like a romantic date movie.
Here is a voice-over narriation of one of the characters (spoken after the character’s death) during the movie:
I catch fire quickly. The first part of me rises in dense smoke that mingles with the smoke of others. Then, there are the bones, which settle in ash. And these are swept up to be carried to the river. And last, bits of our dust simply float there, in air, around the working of the new group. These bits of dust are grey. We settle on their shoes and on their faces, and in their lungs. And they become so used to us, that’s on they don’t cough and they don’t brush us away. At this point, they’re just moving, breathing and moving. Like any one else, still alive in that place. And this is how the work… continues.
I’ve always found for a good, rousing feeling of “Kill me now ,the world is too bleak”, nothing beats Breaking the Waves.
Did anyone mention Happiness?
I came in here to mention Easy Rider, but see that it’s been brought up (at least) 3 times, so I won’t. But I saw the ending recently for the first time since its initial release, and I was really surprised: I’d only remembered Dennis Hopper’s death, probably because him flipping off the rednecks is an iconic cinema moment…but Jack Nicholson’s and Peter Fonda’s caught me by surprise.
And speaking of surprises…Sorry, Wrong Number. I didn’t think moves in the 40s tended to end that way.
I did a search and this title didn’t seem to come up in this thread, so:
Sid and Nancy