Consequences are what give actions depth, and when magic and high intrigue are in the mix, the consequences can be huge. Have a look at the most terrible fates that fantasy characters have ever met.
Sometimes consequences don't even have to be for losers to be awful. Harry Potter has some pretty heavy stuff going on in later books, but one of the most horrifying moments was a party at Hogwarts. Being a magical school, Hogwarts has its share of ghosts. Once in a while they all get together and have a big blow-out. Harry attends a bash, and finds a giant table of rotting food. The food is so terrible that he can barely stand to be near it, but the ghosts crowd around. They don't eat it, they just sniff at it. Harry asks why, and a ghost sadly explains that sometimes they can still tease out flavors. And these guys aren't even intentionally being punished.
Another popular series, Anita Blake, manages to torment its dead in other ways. Anita is touted as a vampire hunter by the books, but at the beginning of the series, she makes her living as a necromancer - someone who raises zombies for people and asks them questions or lets their family see them one more time. In an early book, another necromancer raises a zombie for a none-to-friendly vampire. The vampire beats and tortures the zombie for information. The problem is, the zombie is basically just the semi-animated shell of the person it once was. People can coax info out of it, but beating it and causing it pain just drive what's left of its rationality from its body. Eventually, it's just in pain and doesn't even know why - and can only wait for its body to break down enough to end its suffering. That's a pretty awful fate.
And then there's Steven Erikson's Malazan series - in which people die in droves and things only get worse from there. Victims of a certain sword, for example, are not killed so much as sent to a pocket dimension. Oblivion is encroaching on them, and they need to get away. The problem is, they are chained to a large cart, and forced to drag it forward. Their bodies tire, and sicken, and break out in sores just like normal humans, but they can't stop.
Alternately there are vampires - and vampires and vampires and vampires. Sure, there have been a few gleeful demons, but generally vampires are a melancholy lot. Their whining is childish, from a mortal's point of view, but look at it this way; rarely are there lone vampires roaming around a world having fun. Generally, given the genre conventions, turning vampire is basically like being drafted into a Goth Army. They're stuck living under 'sires' and 'sheriffs' and 'queens' who are usually obnoxious, and always cruel and corrupt. If vampirism means spending eternity at an S&M-themed club tending to the banal whims of someone who kills for fun, it's a terrible way to spend eternity. You don't become a wild creature of the night when you become a vampire. You're basically just a house elf in black leather. Forever.
Tortures of the Flesh
People don't have to die off to be made miserable. There are plenty of ways to make people suffer this side of the afterlife. One that probably left a lot of io9ers traumatized as kids was The Machine. Don't remember it? It's what they tortured Westley with in The Princess Bride. In the book and in the movie, they establish that it 'takes years off your life', but they don't exactly say how it does that or how it feels. The impression the audience gets is it does not feel good. Although the Machine didn't do any physical damage, and thus was suitable for a kids' movie, it was mysterious enough that it was extra scary. What's more the film showed Westley, who was so far the film's unflappable hero, weeping after being put through the machine. That was probably the most emotionally terrifying moment in the film.
This is another area in which vampires feature prominently. A vampire can be subjected to torture that would kill any human. True Blood has chalked up a few pretty awful scenes demonstrating this. What else would anyone expect of a series in which one of the main antagonists was part of the Inquisition? We've seen silver, which burns vampires flesh, being tossed over vampire's faces, wound around necks and wrists, and we came within a few seconds of seeing it being used to pierce one of our favorite character's eyelids.
Funnily enough, to get some really brutal torture, you often have to go back to the oldest school of fantasy - fairytales. The heroines get tortured; in the early versions of The Little Mermaid the mute mermaid gets legs, but every step she takes feels like she's walking on knife blades. Another heroine is forced to go out into the woods in the dead of winter and gather strawberries wearing a paper dress. Another is forced to spin clothes out of the fibers of stinging nettles.
And you better believe that the antagonists are tortured. Cinderella's stepsisters had to cut off parts of their feet to fit the shoe, and then at the end had their eyes pecked out by birds at Cinderella's wedding. And they didn't even stop the wedding for it! One popular torture, repeated in many fairytales, is sealing up a wicked stepmother in a barrel. And driving nails into the sides of the barrel. And then rolling the barrel down a hill into a lake. It happened in quite a few tales. A more inventive fate, however, was making iron shoes for the stepmother, and heating them up until they were red hot over a fire, and then putting them on her and forcing her to dance until she died. That was probably at a wedding, too. Fairytale princesses were not so nicey-nice back in the day.
Magic Makes Things Just. Plain. Awful.
All right. I'm going to spoil The Prestige. It's been out for sixteen years, and the film has been out for five, but some may want to avert their eyes. I sure did. The bottom line is, there's a device that can teleport people - but it does so only by making a copy of them. In the film, the copy (or the original - tough to say) is dropped into a tank to drown. In the book, the copy is rendered lifeless, but an accident with the process one day causes both the copy and the living person to continue as reduced souls. Pick the book, pick the film, either fate is horrifying. One way, you live your life as a shell. The other way, you have a fifty-percent chance of dying because you made yourself redundant. Depending on what the person in the water knows, they could either be the equivalent of a newborn child - completely innocent and unable to comprehend why they're dying - or they could be the 'original' - knowing that they are drowning and their copy is going to live on. Until the next time they do the trick.
N.K. Jemisin's The Hundred Thousand Kingdoms also paints a dim view of magic. When we in the real world imagine magic, it makes things better, if only in shallow ways. This book's particular version of magic seems to rip everyone's throat out. The characters in the book are ruled by magic that seems to require that everyone kill the person who is most dear to them to survive. For some its their wives and lovers. For some its their own children. No one escapes a horrible fate, but the gods seem to get it worst. Trapped in mortal bodies they are tortured and beaten. What's more, they are enslaved to mortal humans. Slavery forever, to people who are constantly gleeful at your defeat and torture you for fun and personal gain. (In case you think it's good to be human in that universe, think again. Although the gods are enslaved, they are bound by magic to only follow the words of a command, not the spirit. If any human gives them too ambigious a command, they can be ripped apart by a god.) It's just a horrible place.
And lastly, and most horrifically, there's The Steel Remains. There's been a lot of ugly in this entry. Perhaps some concepts just feel worse because we've been exposed to them for a shorter time and the horror is fresh. Yes, I just recently read this book, but I think this takes the cake. In the book, a certain magical folk have been spotted in a slightly-less-magical land. People rise up against them in various ways, and they have a method of discouraging that. They attach the rebellious person's severed head to the trunk of a tree. Doesn't sound so bad so far, right? Here's the problem. When the tree's roots are put in water, the head comes alive, and tries to speak, but can't get air into its lungs, and cries muddy tears until the tree it taken out of water again. There are some fates in fantasy that sound unpleasant, and some that sound terrifying, and some that just make you want to heave into a bucket. This is the last of those. Enjoy your day, now. Just try to enjoy.