I think Jane its because they're mostly set when the way of life the characters knew is disappearing so there'e always that feeling of loss by the end, have you read Warrior Scarlet or Frontier Wolf - I remember enjoying both of them more than Eagle of the Ninth, can't remember what the endings are like though
I've only read Eagle, Mark of the Horse Lord, and A Song for a Dark Queen.
And guess what? (Spoiler)
They all DIE!!!
I'm beginning to think that the author enjoys letting bad things happen to the characters all the time - sort of like with Rincewind, only it's not funny.