Are there any books where the bad guys win?

If by win you mean living after the story is done, then try The Princess Bride.
If by win, you mean all the good guys are dead, try Les Miserables.
If by win, you mean an awkward sort of truce that results in one party's annihilation, try Jurassic Park.
If by win you mean a good character is taken away, probably never to return, try The Book Thief.

I think in The Last Battle the bad guys technically win.

1984-George Orwell

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Artemis Fowl. He's the "bad guy" in the first book (later on in the series he becomes more grey), and he wins.

Basically the entire "A Series of Unfortunate Events" books. The villian, Count Olaf and whoever is on his side always get away with everything no matter what.