I had a long-running conversation with a couple friends on Facebook that started out discussing tragic / bittersweet vs. artificially happy endings and quickly sprawled (for me, anyway) into the differences between reading for comfort and, for lack of a better phrase, reading for discomfort. Because we're all nerds, all examples given were fantasy novels, particularly Tolkien (who can be both bittersweetly tragic and cloyingly comforting) and current fantasy megastar George R.R. Martin; those two are of quite different polarities, and it's hard to find fantasy these days that slots somewhere between the quaint tidiness of Tolkien and the messy melodrama of Martin—fantasy more complex than simple Good vs. Evil, but also not filled to the brim with horrible people.
One that does come to mind, though, is Robin Hobb's Six Duchies novels, which hits a good balance between the medieval European high fantasy setting with the darker elements of intrigue, violence, and upheaval. I bring this up in particular because the first trilogy (Farseer, consisting of Assassin's Apprentice, Royal Assassin, and Assassin's Quest) suits itself particularly well to teens looking to break away from Harry Potter and Lord of the Rings but don't feel comfortable with (or, more likely, have parents who shoot you Disapproving Glares of Death for suggesting) reading A Song of Ice and Fire.
The trilogy revolves around FitzChivalry, the illegitimate son of the Duchies' Prince Chivalry brought to the royal court for formality reasons. It's quickly discovered that Fitz possesses not only the royal Farseer magic known as the Skill (a form of mind-manipulation), but that he also possesses a much baser, and more dangerous, form of magic known as the Wit (a mental bond with animals). Sensing his usefulness, King Shrewd apprentices him to his master assassin Chade, to learn the arts of subterfuge and assassination. Nearly everyone in the court treats him with contempt, however, aside from Prince Verity and his wife the Lady Patience, as well as the enigmatic albino Fool, who seems to share a special bond with Fitz.
This trilogy (and its follow-up, the Tawny Man trilogy) is quite possibly the most amazingly depressing fantasy I've read. Absolutely nothing goes Fitz's way in these books, and horrible things happen to him nearly every chapter. There's an excellent reason for all of Fitz's suffering, though it's never fully explained until later in the trilogy (and this reason leads to one of the best cathartic moments I've read in fantasy at the end of the Tawny Man books). Even as it is, it's the perfect fantasy series for anyone who wants an extremely emotional read, and following it through to the end of Tawny Man worked wonders for me, though I'm probably an exception there.
The only read downside to the novels is that Hobb can be fairly unnecessarily verbose, which is a common failing in fantasy novels, but it's not as extreme an issue as in, say, Robert Jordan's The Wheel of Time (which has, by my estimation, approximately 11 books worth of excess verbiage). It's also a slow, dense read—I read fairly quickly, but when reading Hobb's books I slow down enormously, which isn't always a bad thing. It's an excellent, complex series that fits perfectly with the current fantasy climate, and it's a fantastic introduction to adult fantasy that's still relevant for teens without being one of the adolescent power-trips also common to adult fantasy.