Shoot the Shaggy Dog/Web Comics


 * In Bob and George, the epilogue for the story explains the characters' futures, but keeps reminding us that the entire cast was going to die in between the classic Mega Man and Mega Man X time periods. It then subverts it by saying that was if a minor comment hadn't convinced Dr. Wily to not try to activate Zero who will kill everyone, and they all just fake their own deaths and move to Acapulco to prevent a time paradox.
 * The Last Days of Foxhound is a prequel comic about the boss characters from Metal Gear Solid. Five of whom you kill in the game, and the last one having manipulated them into rebelling in the first place so they could get killed. By design this pretty much means it'll turn into a Shoot the Shaggy Dog, but the penultimate page really drives it home.
 *  Concerned: The Half-Life and Death of Gordon Frohman is a great example of this; after all his adventures,  Too be fair, the comic's title should have been a hint.
 * Filthy Lies. The artist got sick of doing the comic and dropped a giant septic tank on the protagonists. Then he realised he missed doing the comic, so they got better. Even this, however, was better than the second time around of the artist getting sick of doing the comic, and just stopping.
 * The GOFOTRON Arc of Sluggy Freelance would be a good example of this (although not for the main characters). It would take too long to explain the entire plot, so basically it's an entire 2 and a half month plot arc where Torg, Riff and Bun-Bun are transported to another universe, which is set up as an epic futuristic soap opera, with many characters introduced. In the end, the entire universe is destroyed (the main characters escape, though none of the natives do). And then it turns out the universe was just created as part of an experiment by an alien race to find a new form of energy. Then it turns out that the company is a waffle iron company, and the entire purpose was to find a new way to power waffle irons!. Oh, and the company decided to pull the funding.
 * Falcon Twin (link): All of the time and effort that the protagonist spends trying to get back to her own Crapsack World is completely wasted because her (not)girlfriend decides that leaving her to bleed to death in a burning building is an OK thing to do, even though medical attention isn't unreasonably far away. However, considering that the tone of the entire series and the very EMO protagonist both come from well beyond the Despair Event Horizon, could you really expect any other kind of ending?
 * Homestuck: The White Queen abdicated her throne, escaped to Earth, met up with the remaining exiles, and was almost ready to leave for a new universe with the survivors and her recently-awakened husband as part of a lengthy plan.