There's a video game called 7th Saga for SNES. In that, you had 1 of 7 characters to chose as your hero... Humans, Elves, etc, Even a demon. Characters would react to you differently depending on who you chose, there was a VERY Zelda-esque piece in it, the music was good and the play was ok,...
Now here's where it gets icky. It had a very depressing storyline, and at the end of it, when the final demon is defeated - He takes you with him. So your lead character dies. Was quite a bummer.
E.Y.E.S. of MARS was an anime I watched -a sci-fi telling of Genesis (before I was saved.) It was terrible to me, simply because EVERY single Character I had grown attached to - Died. And at the end the only people who survived were the two people I couldn't stand the most.
I lost interest in Digimon at season 3 because of what I call "Muddy Heroes". It's no fun when the heroes are acting as bad or worse in some ways than the villains. Not that good guys don't have faults.
The first anime that captured my interest was Robotech; The Macross Saga. It thoroughly engrossed me in the characters, and while there was death in it, even of some major characters, and the hero was infatuated with a girl he'd never be able to get, When they won, It made the victory that much better!
The idea of the devil winning isn't actually new... who would honestly want to follow Satan, knowing full well he's doomed, and going into the fiery pit of hell and taking you for the ride? He's always trying to steal God's glory and make him out to be a liar.