Fallen. Denzel sets a very neat trap for the demon... but not neat enough.
Dr. Horrible's Sing-Along Blog as well. While the Doc may have been mostly noble and Hammer mostly awful, it ends (somewhat ambiguously) with the Doc actually turning into a villain.
The Usual Suspects is the first one that comes to mind that isn't horror and the villain winning by getting away. Does that fit the 'evil wins' concept you are looking for?
Pretty much any Batman movie. It's subtle, because it's not chaotic evil, but lawful evil—the status quo, established hierarchic power structures and systemic injustices that plague the city remain in place. In fact, enforcing and protecting status quo is the whole raison d'entre of Batman, who is an extremely priviledged rich individual benefitting and profiting from the status quo. And thus has no desire to enact real societal change, unlike eg Baine.
I'd argue James Bond is also the same. Yes, Bond villains are evil—irrationally and comically so—but like Batman, Bond represents, enforces and protects the same hierarchic power structures and systemic injustices that give rise to these villains.
Then there is Star Wars and all this light vs dark side. But if you stop and think about it, Sith and Jedi are just two sides of the same medal. Jedi mind trick that coerces someone to do something against their will is extremely evil by its very concept. Especially in how trivialized its use is in the movies. Also, there is nothing civilized about lightsabers. These are horribly dangerous to the wielder and their opponent alike, will easily cut through hull plating by accident (a bad thing when a cm of material is all that's standing between you and hard vacuum). And would in reality not make a clean cauterized cut, but explosively flash boil the target with the end result like being blown from a cannon.
Lawful, systemic evil is the most devilish kind of evil; it's so subtle it goes unnoticed and is even celebrated as good, no doubt in no small part due to the vast propaganda machine lawful evil loves to build up around itself.
I am going to put in little shop of horrors since it is a musical. And I really would not consider it horror.
For those of you that don't know there are actually 2 versions of this movie. The original release version where the plants lose and the ORIGINAL test audience version where the plants win.
I've got one that's a gem and hasn't been mentioned yet, for once!
Upgrade (2018)
A guy and his wife are attacked, his wife is murdered and he just barely survives. With the help of a super-chip implanted into his body by a billionaire, he sets out to get revenge.
But at what cost?
A stylish, savage techno-action film, basically John Wick but with AI chip. The ending is rightly haunting. Well worth watching!
There will be blood. Oil mogul thrives while america plunges into depression. Plainview and people like him will go on to be more influential down the line. Like prescott bush or hw bush.
Willy Wonka (Or Charlie) and the Chocolate Factory. And not because of Charlie, but because of Wonka.
The dude's basically a slave owner, paying his workers in cocoa beans, he nearly drowns a kid, poisons another, throws a third into an incinerator, and disfigures a fourth.
Both of these movies deal with time travel, I know that is a turn off for some people. Also in both of these movies it’s not that evil overtly wins, it’s more that protagonists fail to prevent the inciting incident from happening. With Paradox it’s not really implied until the last scene what has actually been going on.
I'm assuming that it's been taken as read that this post will be full of spoilers.
Fallen (1998). IMDB doesn't include 'horror' in the genre list, but it's got supernatural elements to it, I suppose.
The Vanishing (1988) aka Spoorloos. Not the American remake, obvs.
Massive spoilers for the movie, obviously, but technically Predestination:
spoiler
The film ends with the main character having fully descended into madness and clearly intent on taking whatever steps he has to to see the love of his life again, even if it means killing tens of thousands of people to do so.