The ending of the movie version of The Mist, which I think is one of the best twist endings ever:
The main character and a few other survivors who decided to leave the supermarket get in their car to get away from the monsters. After running out of gas, the main character decides he doesn't want to see his friends and family get mutilated by the monsters, they decide to take a bullet as a much less grotesque way to go. Yes, the main character even shoots his 8-year old son. Since he doesn't have a bullet for himself, the main character steps outside of the car to willingly be killed by the creatures...........
Only to find the thing that was approaching him was the military, who've managed to destroy the mist (and subsequently the monsters), and are escorting the survivors from the supermarket. Yes, the main character just killed his friends and family for nothing, and had they waited 2 more minutes they wouldn't have died. :blink: