It occurred last night to me with an online story I've been reading.
It was worse because I didn't know it would be the last chapter. The author didn't mark it as such.
I loved the characters.
I only figured it was the last when the events occurred, and I was like WTF, my emotions are all over the place, and I read the comments, and discovered that was it. There would be no more.
The ending was terribly sad, but also extremely happy at the same time.
I'm still on a feel trip today from it.
Not many stories do this to me, but this one did.