Shoot the Shaggy Dog/Comic Books

Pride of Baghdad ends with all four protagonists being gunned down by American soldiers without even achieving the freedom that they'd been dreaming of.
Shade the Changing Man ends with him rewriting history so that none of the events of the comic ever happened, leaving one character (who had gone back in time with him) missing, his son trapped permanently in a female body and he himself unable to reconnect with his lost love. There is a slightly upbeat moment in the last panel, but if you think about it, it's unlikely to have worked out the way he wanted it to...
The Karate Kid and Triplicate Girl plot thread from Countdown to Final Crisis. Two members of the Legion of Super-Heroes are dumped in the 21st century for reasons unknown to them, and Karate Kid turns out to be infected with a virus that could wipe out all life on Earth. After spending months trying to find a cure and eventually teaming up with the rest of the cast, they end up in an alternate universe, and Karate Kid dies, the virus spreads and turns humans into animalistic humanoids, and Triplicate Girl is torn to pieces by a pack of said animalistic humanoids. All to set up a universe similar to that of Jack Kirby's Kamandi character.
- And you wanna know what's the real shit-kicker? That universe was going to be destroyed anyway in Final Crisis. Its remnants were fused together with those from other worlds and Comicbook Limbo so the original Kamandi-verse was recreated anyway (i.e. OMAC, Kamandi and the Post-Final Crisis original New Gods). Yes, Karate Kid and Triplicate Girl literally died for absolutely nothing. Oh Countdown, is there nothing you didn't destroy?
Mr. Hero: The Newmatic Man, an obscure comic published with Neil Gaiman's name prominently over the title (but with little actual involvement from him) ended up being this sort of a story when the entire year and a half run of the series ended up being nothing more than a successful Evil Plan by the Big Bad to retrieve and destroy the titular renegade steampunk soldier. A planned second volume may have changed things, but the imprint's failure made this the end of the story.
In the Marvel Universe, Crusader was a Skrull sent down well before the invasion and set to gathering intel. But the target he'd been set to spy on, The Avengers, had just disbanded, and he had no other instructions. So he started watching movies of them, got cozy with a cashier register, discovered and trained one of the MU's very few gay superheroes, and ended up taking up said hero's power ring when he died. Very quickly he started Becoming the Mask and ended up on Earth's side during the invasion, with a not inconsiderable amount of angst. It ended with him defeating a childhood foe, and then killing the Skrull that had been impersonating a major hero, "saving his home" .... and then the Skrull Kill Crew shot him. Nice. Though there's an opening for an Author's Saving Throw. He might not actually be dead.
Any editorially mandated Cosmic Retcon where decades of continuity get eaten by a Negative Space Wedgie. The publisher doesn't just restart the title and ignore the old version. Instead, they write an ending where the old, no-longer-cool version of the characters must watch the Negative Space Wedgie annihilate their timeline and destroy everything they have ever fought, worked, loved, or dreamed for, and there's absolutely nothing they can do to prevent it (except work to ensure that a Replacement Goldfish universe will get created after they're erased). All this makes for a vicious Downer Ending for characters who were originally created to be very upbeat, and forces the new version to shoulder the blame in fans' minds for how the original ended. The various Legion of Super-Heroes reboots are a good example, especially the 'End of An Era' story during Zero Hour. And Crisis on Infinite Earths gives us some other good examples.
In Watchmen, Rorschach realizes something is going on when the Comedian is murdered. He notices how Dr. Manhattan goes away to Mars and Ozymandias survives an assassination attempt, and while trying to get more information, he's put in prison himself. Fellow superheroes Nite-Owl and the Silk Specter break him out of prison. Nite-Owl and Rorschach find out that the conspiracy is caused by Ozymandias, who staged the attempt on his own life, and plans to destroy half of New York City to get the USA and Russia to stop fighting each other. They find his hideaway in Antarctica only to learn that he simply launched the attack when he first saw them coming. They all agree (except Rorschach) to never tell the public about what went on, making their journey truly pointless. Rorschach is subsequently killed by Dr. Manhattan due to his refusal to help keep the secret. And at the very end, it's suggested that Ozymandias's scheme may be about to be exposed, thus destroying his work to prevent the Cold War turning hot and rendering everything in the story meaningless.
Planet Hulk, granted it was pretty damn obvious that Hulk was going to be brought back to Earth by a storyline at some point, but to have a damaged warp-engine (placed by rebels as stated in World War Hulk though supposed ally Miek allowed them to do so) explode and effectively destroy everything he had spent a good portion of the novel building towards, a wife, future child, kingdom, peace and acceptance as a respected and admired being in the last few pages seems to fit this trope to a T.
- The storyline alone is an example, but the overall comic ultimately subverts it, as Hulk's child Skaar survives the destruction and eventually comes to earth and affects the story. Then it turns out that Skaar has a twin brother, who also survived, and ends up causing another story.
Many of the stories in Will Eisner's Contract with God trilogy are of this type.
The graphic novel House is about as pure an example of this as you're going to find, particularly in regard to the "shaggy dog" part. Three people explore an abandoned house. All three of them get lost and die. The end. We never find out anything about them other than that two are in love, or anything about the house other than that it's Bigger on the Inside, and the deaths of the protagonists are ultimately arbitrary, independent of their own mistakes or failures.
Countdown to Infinite Crisis. Somebody wants Blue Beetle Ted Kord dead. He asks everybody he knows for help, and they all turn him down, often in the most insulting manner they can manage. In the end, he tracks the culprits down, discovers their secrets, discovers a plan to kill all his friends, and then promptly dies. After having accomplished nothing. Basically, the story is that Blue Beetle lived, he sucked, and he died. The end.
This happens sometimes in Chick Tracts. In "Fatal Decision," in which the doctor sells all his stocks and bonds to afford a vaccine for a patient, loses his son in an auto accident on the way there, and arrives to give it to the patient. The patient destroys the vaccine because a disgruntled orderly manipulated him into distrusting the doctor, resulting in him dying a few days later.
- In case you can't tell, the doctor is God, his son is Jesus Christ, the vaccine is salvation, the orderly is Satan, and the patient is the Ungrateful Bastard that is humanity. Yeah, Chick doesn't have a very high opinion of us.
The fictional life and career of any comic book superhero whose final fate could be summed up as, "And then s/he was killed in a group slaughter along with some other superheroes. The End." Somebody created this superhero, gave them powers, a personality, origin, backstory, villains to fight, supporting characters to care about, all in the hope that readers will grow to like and care about this hero. And law of averages, there's bound to be somebody, somewhere out there who did end up liking and caring about this hero. Then sometime later, somebody else (and it's always somebody else) decides they dislike, hate, or just didn't care about this hero and will have them killed in a group slaughter just to show off how deadly the latest villain is. And since once that hero dies, the villain instantly kills another hero, that means the hero dies looking completely ineffectual, making their entire backstory meaningless. And since the villain(s) responsible always get away with it (at least for the time being), even the last hero killed in a group slaughter dies looking ineffectual and worthless.
One old issue of MAD featured an Al Jaffee's story, "The Meaning of Life". The protagonist was a dirty, ugly, smelly guy named Marvin, who was upset because he was a nobody. One day, he hears a voice, who suggests getting himself cleaned up. Marvin does, but he's still a nobody, a sweet-smelling nobody. The voice talks to him again, telling him he looks rotten and decrepit. So Marvin gets plastic surgery, a better hairstyle, and cleaner clothes, but he's still a nobody, a sweet-smelling, good-looking nobody. The voice speaks again, telling him he should try being more articulate in his speech. So he attends speech therapy classes, but is still a nobody, a sweet-smelling, good-looking, articulate nobody. The voice appears again, telling him to try being less crude and vulgar. So he takes music, theatre, and etiquette classes. Unfortunately, now he's a sweet-smelling, good-looking, articulate, cultured nobody. Finally, the voice tells him that the true reason he's a loser is because he's being selfish, and if he finds someone who is just as much a nobody as he is and help him, he can find purpose and be somebody. Marvin searches the world up and down, and finally finds someone who seems just like he was at the start; he's happy for a minute... but then the guy shoots and kills him. The final panel shows the killer in front of his own Wanted Poster, which describes him, ("Arnold Acne", Public Enemy #1) as "Ugly, smelly, inarticulate, uncultured, selfish, and very dangerous."