The title of this top ten can be a bit misleading. Most horror movies, by nature, typically never end well. They almost always having some twist or "gotcha" moment at the end of the film to try to get one more scare in or lasting impression of dread.
Even some of the movies in this list by categorical standards may be stretching what a horror movie is, but I tend to believe that horror is something that would be a "horrible" situation to be in, after all that is where the namesake comes from that we classify it as.
That said, I tend to think movie makers are too scared to test audiences into a true sense of dread or understanding. For example, I Am Legend by Richard Matheson is one of my favorite books of all time, with a delicious, surprising and depressing twist ending. When the Will Smith movie of I Am Legend was released in 2007, I immediately knew it wasn't going to be anything like the amazing book. A tale of the last man on earth trying to survive a newly inhabited world of vampires. Of course, I was right. The ending was absurdly stupid.
To my surprise however, the 2007 version of the movie was supposed to be more like the original ending of the book. As always however, the producers of the film thought that this ending was too "depressing" or audiences wouldn't get it. You can see the ending on the "extras" of the DVD. I was going to post it here, but Youtube pulled the video down. :(
I think Hollywood underestimates us trying to scale endings back so that movie goers are "happier" when they leave a theater. This list best exhibits directors and movie-makers who weren't afraid to go further and truly test its audience with some truly depressing and soul-crushing endings and show that those movies are great because of it.