To bring forth a cliche', be careful what you wish for, you may actually get it, but (especially in this case) it may not be what you expect. Billy/Horrible had wished all this time for two things: to join the Evil League of Evil and to have a meaningful, loving relationship with Penny. He put his defeat of Hammer (what he felt was going to be what would for sure get him into the E.L.E.) over everything else. That didn't necessarily cause him to lose Penny (in her tragic death), but in his pursuit of his goal, events happened (Freeze Ray powering down, the Death Ray getting knocked to the ground and breaking, Captain Hammer trying to use the death ray on Horrible, the Death Ray exploding, sending shards into Penny and killing her) which both helped Horrible defeat Hammer and caused him his greatest internal pain (the death of his one true love). So he does have all he could ever want (membership in the E.L.E. and the respect of the inner circle, fear from the general public, etc...), but the loss of Penny caused him great sadness, pain, and left his victory feeling hollow and empty. That's a pretty accurate explanation of the ending. If anyone has anything else to add, please do so.
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