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Usually when the villian/bad guy in a horror movie gets killed... we're all happy.
Then there are the rare times we're not. I felt sorry for the following:
David - An American Werewolf in London
Carrie - Carrie (original)
Shark - JAWS
Regan - The Exorcist (for what she had to go thru)
Can't really think of any others at the moment.