Excel Saga(I was kinda young at the time I think, but still.)
Saikano(this anime actually had the fansubber put up a warning 5 episodes or something from the end saying: "this is the closest your getting to a happy ending, if you wander on from here, then be warned.... at the time of said disclaimer it was still kinda sad..., not nearly a happy ending then either, but certainly happier).
Angel Beats!(this anime series is just awesome on EVERY level, but the ending is spectacular...)
This btw, is a big recommendation from me for all of the above.
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