Well, A Song of Ice and Fire springs to mind instantly. Particularly Brienne in A Feast for Crows, which is basically one big book of George Martin taking a big, greasy, steaming shit on her face (and then having a cannibal bite a part of that face off). Also, Tyrion in A Dance With Dragons, in which it becomes readily apparent that Martin has come to despise Tyrion, probably because of how popular the character is, but at the same time can't kill him off, again, because of how popular the character is.
Next would probably be a ton of people in The First Law and other Joe Abercrombie books, but when you stop and think about it, most of them either had it coming or didn't end up quite so bad. The one exception might be Shivers, who was one of the few truly decent people in the books, but got screwed over so hard and repeatedly that it was tragic to watch. Used to think Bremer dan Gorst got it pretty bad, but then I read Heroes and any sympathy I might have had vanished...
Finally, Malus Darkblade, simply because COME ON, give the guy a break. Also, more books.