Charizard Champion#06
Spiral Warrior
I do recall seeing a doujinshi, but I'd say it was more than a bit over-the-top in trying to make Lucky Star seem sad.
[spoil]Basically, from what I remember (sketchy on the exact details), Konata and Miyuki become lovers, and become more distant towards the twins. Miyuki and her mother end up raping Kagami at one point (guess it was to serve as a lesson to stay away from Konata), and Kagami commits suicide afterwards. Tsukasa later discovers the cause for Kagami's suicide and tries to kill them with a box cutter. Tsukasa ends up getting killed (she fell off the school rooftop during the struggle? Forget the reason), and Miyuki's left bleeding to death to tell Konata her last words, after which Konata jumps off the roof to follow them. The final scene depicts all four girls meeting up again in the afterlife.[/spoil]
I cried...
laughing.