The hero dying is a cliche ending just as much as saving the woman at the end and beating the bad guy is cliche.
Not many games or movies, however, let the hero die and the big bad evil win no matter what. That would be interesting especially in a game series where we might be able to defeat the big bad evil in the end, join forces with him, replace him or be killed yet again leading to him/her winning. Or what about we forget about the big bad evil and have the hero give up or something? He/she sees the pointlessness of their quest and realizes they are in wrong and simply hits the open road or finds a tavern to crash in until something interesting comes up (or perhaps they go back to whatever they were doing before). The Witcher 2 was good in its ending as you could let the end boss go and I personally didn't see him as an antagonist (hell, I suppose one could argue that the actual antagonist of the series doesn't even rear its head in Witcher 2).
I see so many series that ultimately always have the good ending rather than neutral or evil. In gaming, gameplay choices can dictate the ending but this is mostly only done in RPG's. Personally I think non-RPG's can do the same (and some have but there need to be more of them). I guess the only problem with multiple endings is when you've got a series going set in the same place and taking place shortly after one another, the developer will either decide on a canon ending or do their best to try and make all endings work.