Not on GOG since the rightsholder loves control and DRM, but:

Diablo 1. The final boss is "The Dark Lord" (of Terror). When you defeat him, a post-game movie shows the protagonist remove a cursed gem from The Dark Lord's head, causing The Dark Lord to shrink and become the possessed prince you've been seeking the whole game. The protagonist just killed the one human he specifically promised to find and protect. It gets worse. In an effort to contain the malevolent spirit, the protagonist then jams the cursed gem into his own head, hoping that he (or, if you played the Rogue, she - but you don't have a separate movie for that) is strong enough to contain the demon. The sequel says he (or she) failed, and The Dark Lord possessed the protagonist of Diablo 1.

I've only played Diablo 2 and 3, but I remember that from the cutscenes with the Wanderer in Diablo 2...iiirc the entire village from the 1st game also got destroyed. Yes, definitely a downer ending.
They did pretty much the same with Prince Arthas in the human campaign of Warcraft 3 as well.

I never finished Stasis, it's just too physically painful to play. Awesome game though.

This one is massively stupid. Same.

Doesn't this have like a bajillion endings? Can't spoil a terrible game.

I was pissed when I beat Blackwell Epiphany and I always thought Chaser should have had multiple endings


Non-GOG games I haven't seen mentioned yet.

Far Cry 5. 4 doesn't end badly for the protagonist per say but no matter what you do the country will be in the same shape or worse as it was when you started.

Axiom Verge

Turning Point Fall of Liberty

GOG games I haven't seen mentioned yet.

Iron Storm

Red Dead Redemption - can’t get much worse then spending the whole game trying to get back to your family, and when you finally do getting gunned down by posse of corrupt lawman who sent you on the quest in the first place. Still there is that bonus extra at the end where John’s son tracks down the lead lawman and blows him away.

It’s time you play it again: there is an alternate movie for the end if you played with a rogue ;)

INCLUDES MASSIVE SPOILERS ABOUT THE ENDINGS OF VARIOUS GAMES

SteamWorld Dig
Protagonist digs down to the center of the planet. For various reasons the whole thing caves in, leaving him at the bottom. Basically SteamWorld Dig 2 is about finding the guy again.

Prince of Persia 2008
Elika and "the Prince" set out to heal the lands. And they do, step by step, they fight back Ahriman and let everything blossom again. But Elika didn't tell the Prince that the final step means her death. So the Prince is faced with the sudden demise of the love of his life. He can not accept that, he will not accept that, and so, just like in the actual Arabian Nights, he chooses a stupid and wildly egoistic path: A pact with Ahriman to bring back Elika, the very same pact that corrupted Elika's father. The game ends with Elika alive, Ahriman free, and the lands destroyed again. The final scene is the face of Ahriman in a sandstorm, engulfinig the protagonist who's carrying his Princess. In my book, that means they both die (though the fucking DLC that thankfully was only available on Xbox contradicts the obvious interpretation and evident authorial intent). The Prince has given everyone's life, including his own, for just one more precious moment with Elika, and he must have known that it would be like that.

- Flood
- Dreamfall: The Longest Journey (then again, there is a sequel now, fixing that)

And I guess, depending on your interpretation:
- Hotline Miami
- Mass Effect 3 :P

Call of Juarez

Bad in a sense that one of the protagonists dies at the end. It is a happy ending for one (Billy) and death for the other (Ray).

Call of Juarez: Bound in Blood

Ray shoots his own younger brother in the heat of the moment.

Overlord

Not a protagonist per se, but the Overlord ends up being stuck in the Abyss with no way out.

Legacy of Kain: Defiance

(Critical spoiler to the entire series, read at your own risk!!!!)
.
.
.
.
.
.
.
.
.
.
.
.
Raziel sacrifices himself to enable Kain to confront the Elder God.

Not sure if it count as "protagonist", but the whole Starcraft and Starcraft: Brood War is full of "bad endings" for almost everyone.

Jim Raynor - lost his job, betrayed, become hunted outlaw, chick he was picking up changed into inhuman abomination in front of his eyes.
Sarah Kerrigan - the chick mentioned above.
Gerard DuGalle - failed as commander, lost his soldiers and ships, send his best friend to his death, commited suicide at the end.
Terrans as a whole - millions slaughtered, majority of colonies lost, survivors rounded up under the dictatorship rule after bloody civil war.

Fenix - mutilated to the point where he need to be changed into cyborg, killed in a gruesome way.
Tassadar - have to fight and kill his own people, deemed as traitor, have to sacrifice himself in the end.
Zeratul - bring destruction to his own planet and people by leading Zerg to them, failed to protect his own Queen and have to kill her, lost everything and went to exile.
Protoss as a whole - lost their both "homeworlds", the one that their later reclaimed form the Zerg was turned into barren, smoldered wasteland.

Zerg - scattered into various, hostile broods locked into neverending war which each other. The biggest brood used as a cannon fodder for personal vegenace of someone who - technically - is not even a Zerg. Exterminated, bombed, burned and killed by everyone :)

Chrono Trigger
Ignoring the idiotic bullhonky of Radical Dreams and "Dalton Ruined everything", Robo probably ceases to exist by the end of Chrono Trigger.

Oh yes. Harsh and good (in the sense of fitting) at the same time.

Divinity 2 - Ego Draconis (without later corrections/additions) ends with a huge 'Fuck you' from the devs to the players. So this ending is bad in every meaning of the word. Bad for the character, bad for the world and just plain badly written.

As far as I remember the ending will be relativised with the addon.

Unreal: The protagonist escapes the planet in an escape capsule but is stranded in the orbit because the capsule ran out of sprit.

Unreal 2: Your whole crew sacrifices themself to save you.

Simon the Sorcerer 2: Simon ends in the vessel of the evil sorcerer whose name I can't remember and the evil sorcerer takes over our world in Simons body.

The Solus Project: The protagonist is trapped by the aliens and the last humans are lured to the planet.

Tormentum: The protagonist learns the reason for his journey and if he hasn't always behaved good he will be thrown into hell.

Well .... I haven't played through that yet. But I guess that's a spoiler I can live with. :D