The victory should come with a price. The more important the victory, the bigger the price should be. I've watched yesterday, again, the season 2 final and it just shows it as clear as crystal light. Victory should come with a price. Not a procedural price but a dramatic one: The character has to sacrifice her life, the heroine has to be shunned by society, or even the character has to lose a loved one.
Buffy took it to the extreme. Buffy was way too close to killing Angelus and to close the gate with his blood. Willow, in the meantime, was casting the spell that will restore his soul. A moment before she killed him, his soul came back. Buffy, who throughout the season had to fight her inner demons, knowing that he won't come back to be Angel, who learnt that she has no other choice but to kill him, received the thing she wished for: She got Angel back. On the other hand, she knew that she has to kill him in order to save the world. Buffy had to sacrifice the thing that she wanted the most, in the moment that she got it, in order to save the world.
I think that all of us who watched this episode know what I'm talking about when I say that it's an example, a great example, for drama at its best. This end is both memorable and tragic, and it raises the finale a few places.
We can see it in other series finales, and in movies. In the end of Casablanca, for example, no one got what s/he wanted. Rick wanted Ilsa, Ilsa wanted Rick, and Victor wanted to be with a woman that loves him. In order to save Victor, Rick sent Ilsa with him, lying that she wanted to be with him. Rick knew that without Victor, the war is gonna be much harder. Everyone's happiness was sacrificed for the greater good.
In the end of American Beauty, on the other hand, Lester has to die in order to truly understand how beautiful the world is. In the end of Sunset Blvd, the screenwriter dies in order to get his pool, and Norma kills in order to get her close-up.
What I'm trying to show here, is that finales have to come with great costs, especially victories. The higher the importance of the victory and the more personal the cost is, the greater the drama. Dramatic endings are remembered for a long long time.
In games, it's not that hard to achieve. Going for things like the previous examples is one thing, and an easy one (relatively, of course), but RPGs is the only medium where the audience is also the creators, the storytellers. This enables the GM to come with a different kind of price. From confronting the PCs with their characters to even nastier ones that words can't tell. You've got another layer, far more personal than any TV or movie will be ever able to get, use it.