"Well, That Ruined It" Experiences in Anime

The only one I could think of is:

Trigun:

When Nicholas Wolfwood died. It sucked because I was beginning to like him better than Vash. The way the series went, it seemed like Wolfwood would be there until the end. Too bad he never made it.

Another one was:

Wolf's Rain:

After all that effort and the deaths of all the wolves except Kiba, I thought that maybe Kiba would end up in this nice place or at least something like the scenes with hills and flowers they kept showing. No, he ended up back in that town where he first started. That was confusing.

Jam it back in, in the dark.