Requiem for a Dream (2000), although the ending doesn’t exactly come as a surprise.

Grave of the Fireflies (1988), an anime by Studio Ghibli. It begins with the end and since I had kids I cannot watch it anymore.

The Road (2009). I’ve only read the book and cannot bring myself to watch a movie based on that.

Hamlet (1996) and Titus (1999), both based on plays by Shakespeare, don’t end well for anyone.

Nightcrawler (2014) was surprisingly good and Jake Gyllenhaal is very good at being sinister.

Synecdoche, New York (2008) is one of my favorite Kaufman movies with the great Philip Seymour Hoffman.

The White Ribbon (2009) is one of my favorite movies of all time. It depicts life in a small German village just before World War I with a focus on the children.

The Seventh Continent (1989) is from the same director as The White Ribbon, Michael Haneke.

Dancer in the Dark (2000) from Lars von Trier with a great performance by Björk. It really is a lot better than you might think.

Edit: Come and See (1985) is a movie that greatly affected me that should not be missing from this list.

I’ve also heard good things about Gaspar Noe, but I haven’t yet seen anything from him.