I actually liked the ending to School Days. Not everything has to have a pretty ending. It was played out good, although it had a negative connotation. The Mist ruined "bad endings" though.
I think probably the worst ending for me was Desert Punk. I love that anime since it is one of my first anime's, but the series ended with the start of a war and the main character becoming a bad guy (the bad guy thing is a great plot point though, just the fact that they don't show the war between him and the Underground Mercenaries sucks).
They could have made a whole season or two out of that.
EDIT: I take it back, I remember that
Ladies versus Butlers had the crappiest ending.