Proof that the hero doesn't always win in the movies. Major spoiler alert, obviously. Proceed at your own risk.
The lead character in these movies doesn't necessarily not survive it, but they certainly end up in a bad place or psychologically messed up.
This list also includes movies that follow the a villain or anti-hero under certain conditions, meaning the movie makes you want to root for them, despite their misdeeds.
Horror movies are excluded for obvious reasons. Few meet a good end in those.