Legacy of Kain: Blood Omen made the bad ending cannon.

" Minecraft ", it's fugly, lame and all children cannot stop play the game like an occult follower, so the evil really triumphs on children hearth.

You helped a group of ecoterrorist to destroy several power plants that were meant to help people.

If this group wins evil wins.

StarCraft: Brood War, it ends with the Zerg destroying the last remaining forces of the United Earth Directorate, Dugalle commiting suicide and Kerrigan ruling over the galaxy.

Diablo.
Resistance 1 & 2. (Dunno about 3, haven't played it yet.)

Crackdown.
Portal 2 (kinda).

Now that you mention it, I remember Cait Sith saying something along those lines.  About how many people AVALANCHE had killed.  He was like "What do you think happened when you blew up those Mako reactors!?"  I guess we were doing bad in the name of good.

Definitely Diablo 1 the ending kinda stunned me when I played it.

Majora's Mask if you get all the masks.

It's a little more ambiguous than winning... And a little more grey than good/evil, too.

But Shadow of the Colossus comes to mind.