Here is my list, other than what people have already jotted down:

Bladerunner: "time to die" scene at the end as Replicant Roy Batty breathes his last moments, he laments for all the beautiful things he has seen.

Fight Club: Tyler Durden was so whacked-out, his only recourse was to shoot himself in the face. While a bleeding Tyler and a bewildered Marla hold hands, Project Mayhem is executed right before their eyes to the sounds of “Where Is My Mind?” by the Pixies. A fitting end to an amazing flick.

Fargo: In the end no one gets the money :D

Donnie Darko: The ending

Hitchhiker's guide to the galaxy: The answer to life, universe and everything is ??? .....haaaa you'll know what i mean if you've seen this movie.