Amnesia: two of the possible three endings are bad for the protagonist

Tharsis: no matter how many make it the protagonists are still trapped in a time loop

Stasis: all be in vain...

Cayne: "Hello, mother..."

F.E.A.R 2: depends whether you like it to be raped or not...

Bioshock 2 - if you're a rather vengeful big daddy it sets a bad role model for your "daughter" and doesn't end well!

Both Septerra Core and Summoner 2 have the main character turn into an inanimate object at the end (and implied this was a good thing, but I disagree). Summoner 2 even had an amusing post-game video of the companions complaining about it.

My choice for games that end badly for the protagonist would be: Unepic.

The three possible endings are: Horrible Death, Eternal Agony, and Perpetual Slavery.

Don't worry, they are actually pretty humorous, though. For any and all metroivania/rpg players out there, check it out:

https://www.gog.com/game/unepic

I Have No Mouth I Must Scream

H. Ellison is a weird, dark writer.
There's several endings which are bad.
I never found the "good one" without resorting to
a (gasp) walkthru

The game was actually kind of depressing,
I guess it showed humanity a little too clearly

The Duel: Test Drive II ends badly. License revoked and 30 day jail sentence (but in real life, this would probably end even worse).

Resistance 2 - Whilst battling an alien invasion you get infected with a virus that mutates people into alien hybrids. Throughout the course of the game it has been taking over your mind and body. There is a cure, but because you stayed to finish the battle it is too late, and you finally succumb to it.

One of the men who has fought alongside you throughout this war says "It's been an honour serving with you sir" and then pulls out his gun and blows your brains out.

Spec Ops: The Line - Don't want to go into the ending of that as it's a big spoiler for the whole game, but it's not exactly a happy outcome!