All that happened in a different dimension; none of that happened in the dimension that Chrono Trigger took place in.

The content added in the DS version does not contradict this; to access the scene which connects to this, you have to go through the Dimensional Vortex to access the new scene in which this happens, at which point you are no longer in the same dimension.

(This is how I can handwave away the events of Chrono Cross; they took place in a different dimension (or, rather, *two* different dimensions) than the events of Chrono Trigger.)

Anyway, I have another example that is a little different:
In Donkey Kong (arcade), Mario eventually dies. Even if you play perfectly, every level has a time limit (so you have to progress to the next level eventually to avoid dying), and due to an integer overflow you eventually reach a level that there is not enough time to complete. Hence, there is an end where Mario dies, regardless of how good the player is. (There may be other ancient arcade games that end the same way,)

Edit: A more conventional example, from what I understand:
Utlima 9: At the end of the game, you have to cast the Armageddon spell, which (unlike in Ultima 6/7) kills you.

Digimon Adventure 02: D1 Tamers - As you have defeated the main villain of this game series on Wonderswan, you have been invited to participate into the tournament. Later on you have been deleting digimons that could've been rescued with other means and watch how baby forms of digimon sacrifice themselves to defeat one of the villains, which messes you up. Later on you realize that the tournament was nothing but a fraud, a traiing to defeat the main villain who came back under a different form one more time. The only thing you feel is the fact that you have been used as a tool this whole time and realize that you cannot defeat the main bad as you two are inseparatable (Like Joker and Batman).

The game ends with you leaving the dimension with the main villain.

(Seriously though, Digimon games on Wonderswan are really something)

Besides that i would like to also mention:
-Alan Wake
-Walking Dead Season 1
-Suits: A Business RPG
-OFF

Bonus mention: Duke Nukem Forever. SinceDukester is now under the hands of Gearbox and Randy Pitchford to stay in their hands and rot.

When you have a choice.

Arcanum, depending on what you choose to do in the game.
Mass Effect 2, if you fuck up absolutely everything.
Dark Souls, depending on which ending you choose.
Deus Ex: Human Revolution, also.
Papers, Please, depending as well. (Kinda hard to say when it's a game that has different endings.)

I guess a lot of games with choices and consequences can end very badly for the protagonist.

Blackwell Series/Epiphany, kind of.
The Walking Dead S1, of course, since Lee is the protagonist in that.
Rakuen. Just. Rakuen. :(

(Edit: Trying to avoid spoilers, so no further explanations. Anyone who's played these games is likely to understand.)

Not a game I'm ever going to play, so I just looked it up on Wikipedia...wow, that sounds really bad. That's the kind of ending that would actually probably annoy me as a player since it seems like everything before is invalidated and evil just wins, without any moral message, hope or dignity for your protagonist.

How could I forget Portal?

Spoilers below.



You escape the facility after killing the evil AI that controls everything, only to be subdued by test subject-gathering automatons who force you into the "party submission position" and drag you back in.

Well, Ultima 9 was in it self a very bad end to a great series. So it is fitting that it has a bad ending too.

With choices

Witcher 3, depending on various things...
Reigns, unless you complete the final task - which is really hard and requires a lot of luck too.
Tormentum

Anyway
Layers of Fear - none of the endings is really positive
Monkey Island 2 - I always found that ending pretty scary...
DOOM (poor rabbit...)

Bittersweet endings
Perihelion - The Prophecy, world saved, party dies of radiation...
No pie? :-O

Life is Strange/Life is Strange: Before the Storm.

Ys VIII is ending badly for NISA, mind you it started pretty badly and had a rough patch in the middle.

Neverwinter Nights 2 (before expansions): rocks fall, everyone dies.

I'm not joking, they actually did it.

Velvet Assassin. The main character was based on real-life spy Violette Szabo, who ended up captured by the nazis and executed. The ending is kind of ambiguous as to whether her game counterpart dies or not, but it's a powerfully downer ending that upset a lot of players regardless.

The Deception series also has a lot of really dark endings. Trapt in particular; two-thirds of the endings involve the main character being possessed by the devil, while the "good" third ending sees her become queen for about two minutes before some enemies show up to murder her. There's also a kind-of ending where she goes on the run, the bad guys win, and the devil destroys the kingdom.

Hope you saved enough Mudokons in Abe's Oddysee and Abe's Exoddus, or it won't end well for our hero.

In my opinion it tied the "loose ends" and matched the overal tone of the game so well it looked like a bit bitter but the proper ending.

Age of decadence also has a few hilariously bad endings among its many possible outcomes.
If one works as a praetor for House Daratan, it's possible to play in such a way that all the other noble houses get destroyed...it looks as if Antidas might have a chance at becoming the dominant player and he even makes you a consul as a reward. Looks like everything's going perfect for you.
But then in the epilogue you learn that your actions destroyed the balance of power and that House Daratan was too weak to stand on its own. The imperial guards overrun Teron, your lord Antidas is beheaded and your protagonist is crucified like a common criminal.
I liked that, it fit the general grim tone of the game.

What struck me about that game was that the makers didn't seem to realize just how bad the events they portrayed were. If everyone suddenly fell unconscious like they do in the game, even for a short while, there would be massive worldwide catastrophe; e.g., planes falling out of the skies, cars crashing everywhere, people falling and smashing their heads on stuff, etc. The game doesn't acknowledge any of it to my recollection.