Here are two interesting thoughts on the ending of King Lear: Fintan O'Toole in Shakespeare Is Hard But So Is Life (2002), writes that the ending, and more specifically the "gratuitous" death of Cordelia is meant to show that if there is no justice in a society, then what does it matter if there is a happy ending to a story about a bunch of powerful people? Marjorie Garber, in Shakespeare After All (2004) points to the idea that drama and its rituals have often been used for purposes other than aesthetic ones, and that one of these is to help prevent errors in judgement, like the ones made by Lear, that can have catastrophic results. Thus literature can (and should) have an "ameliorative" and perhaps "educative" purpose that helps in "warding off danger".

I strongly agree with both of these points, and the thought that I would add to them is this: I think the setting of the play is very important, and that it is meant to show a world without many of the concepts and institutions that we take for granted - and that it is also meant to make us consider the reasons why such things as philosophy, art and education were created. So yes, the ending of the play is a most tragic one, but in my opinion it's intended effect is not nihilistic, but rather deeply moral. It presents life unadorned to its audience and asks, "What are you going to do about it?"