I think it's the Handsome Twins (Dicky Cheung and Nicholas Tse), cos Nic had to see his wife die twice (first time was faked, but he didn't know it) while both the girls Dicky was in love with died, and Dicky had to give up his youth and die to defeat the main antagonist. Not to mention about EVERY single other character died. Seriously.
Bu Bu Jing Xin and Chinese Paladin can be counted too, I guess, but I don't really agree with young warrior of the yang clan and the myth. The myth just wasn't moving enough, I felt...it was dragged out too long, and kind of destroyed the emotional punch that the ending should have had. Young Warriors, although the guys pretty much all died, but it kinda ended on a hopeful note, and at least Liu Lang still had the rest of his family with him, + he got to end up with the girl he loved.