Downer Ending/Web Original

Most episodes of Salad Fingers end in one of these. They're either Mind Screw or High Octane Nightmare Fuel.
Considering the fact that the premise of Survival of the Fittest is 'Kill until only one survives' these kind of endings are pretty much inevitable. Of especial Tear Jerker material is the ending of V1, whereupon the winner visits the families of a number of their deceased classmates. There's also the fact, y'know, that the winner is the only survivor out of the group of 123 kids on the island.
In Dr. Horrible's Sing-Along Blog, Dr. Horrible manages to defeat Captain Hammer and gain entrance into the league. But Penny, the girl of his dreams and the most actually heroic character in the show dies accidentally and is forgotten by everyone except him. And because of this he's left emotionally destroyed
Season 1 of Lonelygirl15 ends with the death of the main character. The Grand Finale is also very bleak.
Honorable mention: All About My Dog: Marimo on YouTube. The whole thing is pretty sad, but if the last 5 minutes don't make you cry you have no soul.
In Bionicle Teridax takes over Mata nui's mind and rules the universe.
Season 2 of The Guild ends with Codex feeling horrible about breaking Zaboo's heart, seeing the guy she liked making out with her married friend Clara, and then finding Zaboo making out with Stupid Tall Hot Girl. Meanwhile, the guild leader Vork has a breakdown, and Bladezz deleted Tink's character, which in this series is just as angsty.
Bonus Stage, after first killing off Rya in a cheap and poorly-executed manner, then went on to have Phil go back in time and murder himself in the first episode, resulting in Joel trying to hang himself, being persuaded to keep going and build a machine to resurrect people, then accidentally killing himself ANYWAY, thus erasing the whole series from time. And this was a CHEERIER version of the episode (the original just cut to Joel dangling from the rope after he decided to give up).
Frequent in The Slender Man Mythos; particularly notable is Just Another Fool, which codified many of the later examples.
The first season of the Nuzlocke Comics ends with Steven killing off Ruby's entire team.
Cracked.com
- The 7 Most Soul-Crushing Series Finales in TV History, with a few Sudden Downer Endings included. A summarization of the list:
1. ALF is Sent Off to be Tortured and Dissected
2. Dinosaurs: Absolutely Everyone Dies
3. 3rd Rock from the Sun's Dick is... Well... a Dick
4. Dallas Scores a Victory for Satan
5. David the Gnome Hits Mandatory Death Age
6. Little House On the Prairie Goes Out with a Bang
7. St. Elsewhere Kills a Kitten
- An article about columnist John Cheese trying to quit smoking. It's a very funny but intense recount of his thoughts and feelings during the first day kicking the habit. The sad part is, after a fake editor's note for the final joke of the article, there's a real note beneath it:

Update: John resumed smoking a few months after this article was posted.

YouTube Poops tend to take this path at times. For instance, Walrus Guy's The Only Mama Luigi Poop Anyone Has Ever Made and Mad Man 400096's Toonster Prom Time.
Parodied in The Nostalgia Critic's review of Moulin Rouge, where he realizes that because it's a Moulin Rouge review, they need to have a sad ending. So he creates one by shooting Brental Floss, and spends the end of the review mourning him. Then Brentalfloss shoots him from Heaven in revenge.