I agree, there is too little tradgedy in fantasy, whereas there's lots in SF.
But i guess this is just another symptom of homogeneity in the genre. Heroes are expected to win, and their girlfriends will survive. Bit players can die, and it can be sad, but the main characters get over it. Wise advisor-types may die, but only once the hero has outgrown them (or they may get Gandalf disease and comeback more annoying than ever!). But as always with these generalisation, there are exceptions [maybe spoilers!! - how do you use spoiler tags??]:
Tigana by G G Kay springs to mind. The heroes win (of course

) but the enemy is portrayed so sympatheticaly that its still tragic. And Dianora's response is heartbreaking.
The Last Herald mage trilogy of Lackey ends with the heros death, followed by an epiloque in which his lover Stefen goes willingly to to his death. It was a bit too forced when i reread them, but as an adolescent they were very tragic.
I found Grendel by J. Gardner quite tragic, with it (obvious) futility to the monsters existance.
The book of skulls and Dying inside by Silverberg are fantasy imo, and both are essentially tragic, with a feeling that the protagonists had wasted their lives. They are victims of their own actions, but they are so well characterised that you don't feel the contempt that lesser writers invoke when a character makes stupid decisions.
So i guess i find things tragic if after all the stuggling the heros find themselves with nothing to live for (like Dianora and Stefen). The hero simply dying in the battle is not sufficient, tragedy depends upon a seemingly phyrric victory (or no victory), and a character developed enough to inspire empathy.
Other books without this first condition may be sad, but not tragic:
Thomas the Rhymer by Kushner shows the protagonist in his old age and on his death bed. Its very sad, but the character had lived a full life.
And the main character in Beauty by Tepper is basicaly put into a magical coma indefinately (until the end of the huma race?) at the books closing, but the hope of eventual restoration makes it satisfyingly sad.
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