I'm going to add another voice for the fluffier side of things, mainly because it's so irritating to me when even in a game of high fantasy, the heroes can't win. This is not to say that your choices should not be difficult, or that every single quest should end in sweetness and light, because that simply doesn't make for very good story telling. But at the end of the day, provided I did everything right, (and doing everything right should definitely be both difficult and time consuming) I want to be able to see the heroes walk into the sunset having unambiguously made the world a better place. Now by all means, if you feel like playing a blood-drinking slaughterer of the innocent or an uncaring mercenary in it for yourself, I'm all for the option being there to do just that. But I play games to win, and would really prefer the story to have an ultimate victory condition.
Haha, Terry Pratchett. Good times.