Really, no one is going for Prince of Persia, the cell shaded one?
In all of these bad ending, something happens. Maybe they are bad endings, irritating, lazy etc, but something happens that changes the world, the characters, something. In PoP, the cumulative reward for every last shred of effort is absolutely nothing. You literally undo all the things you did during the course of the entire damn game. From a storyline perspective, if the Prince just sat in the sand for the entire period of the game play, a sequel would be on the exact same footing as if you played the game. And worst of all, the response to the game seems to be that there won't be a sequel to introduce anything relevant happening in the storyline.
Also, Hitchhikers Guide. Mainly because there was supposed to be more books, and instead it ends at the most downer moment possible. Te biggest irritation, of course, is that the ending means no more Hitchhikers guide books, which is terribly sad.