Indeed. Have you ever played a video game where the Official Ending (Alternate Endings aside) had the Player Character's faction get their butts kicked and the Player Character loses?
Yeah. FF7: Crisis Core, I believe the title was. Zack, who's a much better man than Cloud, marches to his death fighting the evil corporate army.
Speaking of which, Crysis ends with the US carrier group getting sunk, with Nomad, Psycko, and Dr. Rosenthal being the only three humans left on the island and going back to fight again.
Mass Effect 2 has a possible ending where everyone dies except Joker.