Indeed, there is no happy ending for Thomas Covenant, which for me is one of the reasons I like it (and hate most movies to come out of Hollywood these days). Conquest is not always successful; endings, even when successful, are not always happy; and happiness is all about your point of view.
The stories made for enjoyable, unpredictable, reading.
I'd be so humble as to suggest "Daughter of Regals and Other Tales" first, and if you enjoy them, give chronicles another chance.
As to parallel worlds, Zelazny had it right with Amber long ago.