Well, I don't know if anyone mentioned this before in the previous replies, but the worst game ending EVER was beating Super Mario Sunshine after finally collecting 120 shines.
I spent many a day trying to find two queer* blue coins on the Pianta Village world. I finally just gave up looking, went to my local Blockbuster store, and mooched a peek off of a Super Mario Sunshine strategy guide. Once I got the two buggers, I beat the game and pissed my pants in a horrific and disappointed rage.
---SPOILER ALERT---
Instead of seeing the "Racing Pianta" (I can never remember his name) at the end of the credits, you see a bunch of nokis, piantas, and Mario's little gang of friends saying "Have a great vacation" (Or something like that). Come on, GRRR, GEEZ!!!!!!!!!!
I mean, Super Mario Sunshine (SMS) was a tight and pretty awesome game when it came to it's adventure quality, but I spent many hours on that game only to be rewarded with a queer* little photograph.
*strange