re: What good movie had a horrible ending?

The classic example is Red River.

In the novel and original script, Wayne is fatally injured in the fight, but begs Clift to help him so he can die in Texas. Clift takes him back but Wayne dies on the banks of the Red River, just across from Texas. Clift takes him across the river into Texas and buries him there.

If that ending sounds familiar, it's b/c Larry McMurtry used a variation on it for Lonesome Dove.