I do like a good one now and again, though they're so hard to find. Most authors don't have the talent or the spine to portray events in such negative light.
Usually when I root for a bad guy, it's because the heroes are idiots.
Aside from the Lovecraft books I have, there aren't too many others. 1984 is probably the best one I've read where evil just crushes good. The Colossus series by DF Jones. I've read the first two, haven't managed to find the third. First one is probably the best example of the Evil (maybe, perhaps...) supercomputer ever written, and the second is pure misogynist tripe.
Movie wise, you can kind of argue with The Thing as well, whether evil won there. Se7en is the best example I can think of where evil wins the final round of a more classic face-off with good. Just the denial of it is so profound by the end. Fallen is another snatched-from-the-jaws-of-defeat victory for Evil. I'm surprised no one has mentioned Silence of the Lambs yet. While not the main antagonist, or central to the main arc (which good does win), Lector escaping was a nice concession. Romero's zombie trilogy is kind of 50/50. Yes, some humans survive. But do they win? The Ninth Gate is probably the most ambiguous I can think of. Corso is an anti-hero in the play, yet who he goes up against is so much more evil. The Ring is absolute classic, evil clearly demonstrating it can only be evaded for so long. Screamers has a simple "oh, not quite" ending to it, too. Of course most of those are of the last-min twist endings, where you see that things are not what you believe, not an out and out victory, or even a portrayal of the story from evil's side.
Any really good movies like that would be appreciated.