If you haven't seen Dr. Horrible's Sing-Along Blog, you should. It's hilarious.
But after watching the third and last episode, I'm left wondering if the story took too hard a turn at the end. An unhappy ending is one thing, but Whedon seems to have mistaken the tale's serious themes for its heart.
Comedy is its heart. The first scene of the series is comedy, and humor comprises the majority of the story. Even in most of the serious scenes, there are humorous elements (like Dr. Horrible taking the place of the soup server and blindly pouring soup back into the pot while he stares with hatred at Captain Hammer). So to end on such a heavy note, which overshadows the jokes at the end, leaves the audience confused and disappointed.
I don't expect monochromatic narratives. I'm a big fan of mixing many types of drama into one story. But stick to your guns. Make sure you and the reader always have a clear understanding of the story's heart. And don't let any story element or idea distract you.
I get the impression that Whedon mistakenly tried to apply his usual strategy from longer narratives to this short one. The ending might have worked in a TV series with ten or twelve episodes, but there wasn't enough time in this series to gradually shift from comedy to drama. It's like what Whedon did in Firefly and Serenity, with the ending being much more serious than the beginning. The characters were always that story's heart, and the feel of the story changes as the audience gradually sees deeper into those characters.
Anyway, short stories generally must work differently than longer stories.