I'm actually interested in that... I'm always interested in the ending of a story, no matter what the ending is. Bad (negative) endings can be frustrating, but good (positive) endings can be quite predictable and sometimes could also be frustrating. It still depends on how well the story was constructed.
I think one confusion here is that people mix "bad ending" and "game over". They are totally different. With a bad ending, it's just that the ending wasn't a positive one, the story and the game is still ended, finished, won whatever you call it. With a game over, you didn't even see the ending...
I think it's better to just call it negative ending though, since bad seems to send me the idea of an ending that was poorly made...
Though of course, I would agree that most players do expect a happy ending. We always seem to seek a happy ending, not just in games.
IMHO, a somehow negative ending can also be a good precursor to a sequel... Like FFX, you somehow "saved" the world, but Tidus is gone with it so it's kinda anti-climactic. But then, because of that, X-2's story began.