Gates of Fire. It fucked me up when I first read it and every time since. You know how it's going to end--it's about the Spartans at Thermopylae, FFS--but you spend all this time learning about the main character's experiences among the Spartans and seeing him struggle to make something of himself, you get to know the warriors and their squires and follow their stories and their personalities and their stupid in-jokes ... And then Thermopylae just grinds them to pieces, one after another. I get teary, and then I get mad at myself because I fucking knew this was gonna happen and they're not real people anyway, ya dumb bitch. Then I turn back to the beginning and reread the first couple of chapters so that I can put the book back on the shelf with the last thing I read being them still alive.
The Tokaido Road, too. I can take or leave the protagonist for the most part, but again, that ending ...