These are the worst endings I could think of from games I have personally finished. I am judging based upon the endings themselves, the final scenes. The endgames, the player's final actions leading up to the ending, are a different matter (and perhaps a list for another day.) Although obviously the endgame and ending influence each other, it is possible to have a great endgame and horrible ending and vice versa.
Many of these endings are somewhat ameliorated by sequels that provide the answers or hope that the previous games' endings lacked. And while I'm thankful for that, that shouldn't be an excuse for a poor ending (especially when it can be unknown years until a sequel appears.)
Another commonality is depressing endings. While I generally prefer happy endings, I'm not opposed to a sad or melancholy ending in principle. But in these endings, the sadness is unexpected, unlike what has come before, and a poor match for the game. The end of the game is not the time for a sudden twist in tone.