Ketsui is the story of the UN hiring assassins to carry out extrajudicial killings. Bonus points for Type A's dude with the glasses who turns out to be a psycho in the ending.
Gunbird 2 has Aine who in
every single co-op ending turns out to be
a sexual predator.
The Mahou games have Bornnam, a necromancer who explicitly doesn't care about heroics and just wants to fight to test his powers. He usually ends up
going on a killing spree in his endings. or trying to take over the world.
Under Defeat has you playing as definitely-not-WWII-germans against definitely-not-allied-Europe nation. "What if the Empire beat the Rebels?" kinda situation.
Outrunners has two playable cars who are explicitly on the run from the cops in their endings.