Ubtil the release of Advent Children, there was quite a bit of debate about whether the human race was wiped out at the end - actually, not so much debate as a series of running flamewars, for the most part. I fell firmly into the ‘yes’ camp.
By the same token, in FFIX, depending how you interpret part of the ending, it’s possible that Vivi dies between the end of the action and the final cut scenes.
At the end of the original Doom demo, you teleport into a room of monsters and die.
If i remember correctly, Earthsiege 2, a mechwarrior style game, was a rather good one.
The game sees humanity fighting for survival against the hivemind AIs we’d created to fight our wars for us (when will we learn?!). The game’s climax involves a desperate mission to the moon, courtesy of some dropships stolen from the enemy, in order to wipeout the enemy’s central Hivemind and save the world.
Half way through this final mission you are informed that the dropships you used are underattack and you face a choice - retreat back to save them or push on and wipeout the AI.
Destroying the AI thus results in you (and your team) saving the world - but its a world you can only sit back and watch from the lunar surface as you wait for your oxygen to run out…
No idea what would have happened if you chose to go back and save your ships, but that’s because i’m a GODDAMNED HERO. 
Ooh! How could I forget? Mafia.
What makes this especially tragic is that the mob had nothing to gain by rubbing him out. They tried to take him out years ago and failed. Their entire organization was crushed. Their don, defeated, disgraced, and died in a cold, lonely prison. He won, they lost. Killing him at that point was nothing but petty revenge; even “Omerta” wasn’t relevant anymore, as there was no longer any don or Mafia to be loyal to. A completely sensless, pointless, useless murder that accomplished nothing more than getting two more wiseguys the chair.
It was perfect. 
Hey, no ones said dis life wuz a bed 'a roses, Rocco.
Zebra - Er…huh? Explain, please? I had the game a long time ago but never got anywhere with it, and I don’t think I can find it now. The thread already says “spoilers”; go nuts.
There was another PC game, an FPS where your character is resurrected with the line, “I live… again!” at the start. Blood according to Google.
Perhaps other UK dopers remember a game on one of those computers they gave to schools in the late 80s/early 90s (a BBC machine?) You have to guide two cartoonish characters about space until at the end these two have to relight a dead star, ending their lives in doing so.
Comedycentral.com has a game called 5 Minutes To Kill Yourself. You can only win if your character dies.
(Ok, so it’s not quite the same thing, but it is a funny little game)
It took me a minute to get this.
Halo 3.
A minute, or over a month?
Super Columbine Massacre RPG (although you don’t technically “die at the end”, since the next level after you die is Hell.)
I think I recall the main character(s) sacrificing their own ships at the end of Ikaruga.
Edit: hmm, sorry for adding to the zombieness!
No he doesn’t. It’s revealed just after, and more so in the legendary ending, that Master Chief is alive and well.
Heck, I remember when pretty much all video games were this way: the only way for the game to end is for you to die.
Asteroids ends when an asteroid hits your spaceship and you blow up.
Pac-man ends when Inky, Pinky, Blinky, or Clyde catches you.
Centipede ends when a centipede or spider gets you.
Etc., etc., etc.
For the PSP version of Final Fantasy 2, there is a second adventure called “Soul of Rebirth” that is unlocked if you complete the main game. The four protagonists of the new adventure are characters who were killed in the main game. “Soul of Rebirth” takes place in a not-quite-afterlife. If you complete the adventure and defeat the boss, the four die again, this time for real.
I forgot to mention Freespace 2. The final mission of this cool-but-bugged-as-nightmare game let’s you protect some fleeing civlian space transports in your fighter. The evil aliens are trying to blow up the star.* For no logical reason, they also decide to harass the civilians fleeing, despite, y’know, the giant effin star exploding. Also sacrificing their own ships for a pointless non-opbjective. You can defend the transports, but this will take all the time and you don’t get to the jumpgate. I don’t know if you even can get to the jumpgate, as I was too depressed to try.
*Very unscientifically, and the designers forgot that we’d have something like 10 minutes between the time they did this and the blast reaching us even if travelled at lightspeed.
Does being dead at the beginning count?
“Rise from your grave!”
That always stuck out to me as pretty unfair:
As far as I know, they overrode the weapon safeties on their ships and unloaded on the core thingy, but then the core explodes half a second AFTER our heroes’ ships do! They died not even knowing if they had succeeded. Pretty rough.
All of them die!
And all the games last only like 2 minutes.
I really don’t see what you people see in video games.
The Civ games! You spend thousands of years getting your civilisation to the stars, you’re going to get a bit mouldy along the way 
Technically you’re dead in the Legacy of Kain games as Vampires aren’t really classed as alive. It’s a shame what happened to that franchise, a damned shame…
Takes off hat and silently pauses to mark his respect for a dead and mangled game franchise that should have gone out a lot nicer