Grand Theft Auto III/WMG

Maria shot the player character ("Claude") at the end of the game.
She was talking to distract him. He was shaking his head, facing away from her and she killed him. She stopped talking to pull the trigger. The whole game was an Evil Plan by Maria to get rid of all of her enemies.

("Claude") shot Maria at the end of the game.
Similar to above, but Claude, after all he went through the game, shoots Maria to put an end to her. He shoots and kills her and moves on with his life with most of the gangs wanting him dead.

Claude shot himself at the end of the game
Yet again, similar to the above WM Gs, Claude felt guilty about all of the murder he had commited at the end of the game and decided that he'd only let one more be added to his body count.