See, the problem is, most of these "twist-endings" to movies are ones that I figured out half an hour before the twist.

Still...
12 Monkeys - Oh yeah. This one fits the bill nicely.
Se7en - This one had be wondering until the last minute. I figured it out about a minute before Brad Pitt's character did... but I was shocked and
satisfied with his response. It just made sense, and went against the grain for a normal protagonist in most movies.
Event Horizon - Yeah, the movie itself was mediocre. However, having the captain willingly sacrifice himself so the others could escape was the saving grace for the film. And the actual closing scenes were creepy as hell, emphasizing the trauma that a event like that can cause a person.
Blair Witch Project - ... okay, I saw this as a rental. And couldn't sleep for hours afterwards. I didn't see that ending coming
at all, and it hit me like a ton of bricks. It was the
perfect way to end that film.
Night of the Living Dead - The ending was just a kick in the gut. After all that struggling to survive, only to die by a mistake... excellent "bad" ending.
Finally, one I've not seen listed yet:
An American Werewolf in London - We all knew what had to happen.
He knew what had to happen. That didn't make it any less tragic.