7. Max Payne (Series)
The original Max Payne has the titular character's family gunned down by a cracked-out addict which you later learn was actually a plot to assassinate Max's wife. Through much bloodshed and trauma, and of course narcotics, Max learns the truth and eventually avenges his wife by killing the woman who orchestrated it all, Nicole Horne.
But in the end, the secret society that Horne worked for The Inner Circle still exists and still pulls all the strings in the city when Max Payne 2 starts. Likewise the Punchinello crime family, who Max had infiltrated as an undercover cop, is still around. Max's buddy and ally from the first game, Lem, winds up being the ultimate villain in the second game.
Max ultimately failing is a recurring motif, really, among the games - by Max Payne 3 he is a washed up former cop nursing a handful addictions in a broken-down apartment building. Which proves that even if you beat the second game on the highest difficult and unlock the 'good ending' where Mona survives, eight years later she's gone anyway.
Max does not get a happy life, or even a successful one.