If you like dark, depressing, unhappy stories A Song of Fire and Ice will make you, uh, happy. The Monarchies of God books by Paul Kearney might be your style too. I haven't finished the last volume yet so I dunno how many important characters get killed off but it seems to be setting itself up for a dark ending. The Tears of Artamon series by Sarah Ash is pretty grim too. It's set in a fantasy world based off of 18th century Russia (as best as I remember from reading the first book like 4 years ago) so even the setting is bleak and depressing. Shadow's Son by Jon Sprunk maybe.
Wow, that's all from one book cabinet too. For someone who usually avoids dark, down books like the plague I sure end up with a lot of them >_<
EDIT: God, how could I forget the Farseer Trilogy and the Tawny Man trilogy by Robin Hobb? Not as depressing as some of the other ones but still pretty grim. Especially Tawny Man. The Fool is a pretty tragic character.