: Creating a story in which the hero(es) lose So I am still in the primitive stages of creating my own world and story, if I even do it that is. I am still trying to get a feel for where

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Consider these possibilities:

The hero achieves what he desires, and what he desires is good.
The hero does not achieve what he desires, but what he does get is better, because he desired wrong. (Think of the movie "Stardust", where Tristam loses the annoyingly selfish girl he loves but finds a better woman to marry.)
The hero achieves what he desires, and it causes him or others harm, because he desired wrong.
The hero does not achieve what he desires, and what he desired was good.

Outcomes 1 and 4 are the typical endings, true victory and true defeat. Outcome 2 is the personal growth story: you lose but end up a better person for it. Outcome 3 is the negative ironic ending. My first novel was an outcome 3, because the hero's victory is hollow: what he gets he can't keep and it leads to crisis and loss in the next book in my series.

You may have more options than you think.

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I've heard many times "there are only x number of stories," (sometimes as low as 4) just told in different ways with different characters. Right off the top of my head, I think of Rocky (yes, Sylvester Stallone as a boxer Rocky) as one of the best "the hero loses" stories. What makes the story in this case is the seemingly insurmountable odds against not only winning but failing miserably, the character development, and the process by which the hero gets to where he ends up, even when and though he loses.

I think you can tell this kind of story in any genre and have a "winner" of a story, if you tell it well.

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Based on your comments, you want the Hollywood three act structure. Act one: introductions, the protagonist tries to solve the initial problem. Act two: Hah! The first problem was nothing compared to what comes next, OMG, this problem is stupendous, the protagonist is totally inadequate to solve it, everything falls apart, and the protagonist staggers into the wilderness. This is the longest act. Act three, the shortest act: just as all seems lost, the protagonist reaches deep down, develops hidden strength, and emerges triumphant. The End, yay!

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In classical drama, a story in which the hero loses is a tragedy. If he wins, it is a comedy. The ideal tragic hero is a great man, with great power, but not perfect. He drives the action, which changes his fortune from good to bad. The tragic flaw in his character, along with fate and destiny, bring about his downfall. He suffers a reversal, where his actions cause the opposite of what he intended. He also has a sudden revelation, unexpected knowledge or insight, which shocks the audience along with him. The reader/audience should feel pity or fear as their tragic hero is crushed. This was first defined by Aristotle, the ancient Greek, plot twists included. The ancient Greeks were more interested in plot than in psychology. Shakespeare followed those ancient rules, but liked character flaws more. You may have studied Shakespeare's Macbeth, Hamlet, or Julius Caesar. All three of these plays include the fantasy element of ghosts, plus Macbeth has witches. Macbeth was a tragic hero, who was killed in the end. He was fairly evil -- his tragic flaw (shared with his wife) was big ambition, with a small conscience. Prince Hamlet likewise had a tragic flaw -- he knew that evil was afoot, but didn't act on it. He died in the end, but so did his enemy, and everybody else. In Julius Caesar, the noble Brutus was the tragic hero, an idealist who trusted his friend Cassius when he shouldn't have -- Cassius advised him to kill Caesar. Brutus' army was defeated, and he committed suicide. Brutus was the champion of Rome's republican democracy. He wanted to save Rome from dictatorship; instead, the dictator's nephew would end the republic, and become emperor. Tragic!

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If you need to ask "would this be desirable?" then I suggest you probably shouldn't write it. If you yourself aren't going to buy into the world you're creating, you can cast-iron guarantee no-one else will.

You don't need surprise endings or twists. You just need a good story that you believe in, told well. "Sword of Shannara" was endlessly derivative of Tolkein - but Brooks had enough that was genuinely Brooks to make it work, and of course it led to "Elfstones" which was stunning. (The less said about "Wishsong" and everything since, the better; self-plagiarism is a dead end, because your original ideas went into the original version.) Conversely "Thomas Covenant" is basically the anti-Narnia - equally clearly derivative of CS Lewis, but flipped 180 degrees.

In many ways, the advantage of kicking off Tolkein is that whilst his worldbuilding was pretty good, he was really bad at writing dialogue and characters, and some of his plotting was a bit shaky too. Brooks's innovation was to retell LotR with a believable set of characters and a writing style that wasn't a pastiche of Beowulf. You do need to have something original to say though.

The 80s had a lot going on with fantasy kicking away from its origins just retelling the same story. As well as your other call-outs, you should look at David Eddings, Tad Williams, Ursula LeGuin and Raymond Feist. You should also be aware of things like Dragonlance as the ultimate stereotypes!

The reaction from there has been to go "realistic". Apart from GoT, some other authors to look into for this are Joe Abercrombie, Scott Lynch and Steven Erikson. If you need examples for modern fantasy, these are some of the go-to guys.

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No one seems to be addressing

3) Would creating a story that ends with the enemy winning be something interesting to others?

Are you telling a “big picture” story, or human (orc, dwarf, elf, whatever) interest story? And why can’t it be both?

Use the enemy winning as a backdrop. Maybe not Love in The Time of Cholera, but isn’t Gone with the Wind the classic example of the enemy winning, but everyone enjoying the book?

Look at the enduring appeal of Anne Frank's diary, which hardly has a happy ending. Not really, do the fictional works The Handmaiden's Tale or A Canticle for Leibowitz, both told many years (centuries) after the death of the main protagonist. In all, the “enemy” wins.

Basically, you are telling an adversarial story.

And, more importantly, you speak of a series.

The James Bond novels were never a series, because Bond always won (yawn).

An adversarial series provides you the scope to flip/flop and reverse the tides of fortune.

Think Cliff Hanger Ending. Think “it’s always darkest before the dawn” as the ending of each book. When people hear that the next has been published they will flock to buy it, to discover how the protagonist is going to “get out of that”.

Short answer to 3) is a resounding YES

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Saving Private Ryan is probably the best example I know of a well-received movie where all the protagonists died. Looking at it, its pretty clear that it got away with this because their deaths were an integral part of the narrative (the final scene pretty much beat this into the audience's head). The movie was about sacrifice, so the character's sacrifice was clearly the entire point. That you lost everyone you cared about was in fact the entire point.

Novels are much more apt to have disappointing (to the audience) losses, deaths, and even endings. As a reader, I do tend to really hate those while they are occurring. However, if they can be made meaningful, that swings things 180 degrees (for me at least). The best example of this I can provide is the Paskenarion Series. The third book in particular Oath of Gold, had the character losing everything she'd worked in the first two books to achieve, followed by multiple chapters of abandonment, abuse and depression that were really difficult to read. But by the end you realize that, while not what she was, she was in many ways far better because she'd had that experience. This put it up in my top 3 personal choice as best works of fiction of all time.

I guess what I'm saying here is that if you need to do that to a character, go ahead and do it. But don't do it maliciously or flippantly. There needs to ultimately be a meaning in there worth the price we pay.

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In fiction there are protagonists, the characters that the writer wants the readers to identify with, and antagonists, the characters who have opposing goals and seek to stop the protagonists from achieving their goals.

There are also heroes and villains in many works of fiction. Heroes tend to be noble and heroic and good and villains tend to be evil. And there are many variations of heroes and villains.

Imagine a story here a child tries to get cookies from the cookie jar without permission and the mother tries to prevent it. It would be equally easy to write a version with the child the protagonist and the mother the antagonist or the mother the protagonist and the child the antagonist. But it would be kind of hard to convince most audiences that either was a hero or a villain.

Now imagine a history book or article written by a modern professional historian. It might describe a conflict of some sort between different leaders and/or groups. But according to the dispassionate tone of most modern historical works it would try to determine causes and effects and motivations and describe the events accurately but not describe anyone as being a hero or a villain. Most modern history works can have protagonists or antagonists but rarely have heroes and villains.

Of course if someone has an ethical code and reads a modern history they can form opinions about where on the scale between total good and total evil various historical characters were based on their actions. If good and evil are real, certainly every person who ever lived had some type of good/evil score, even though we might not have enough information to estimate that score very well.

Of course historical fiction based on historical events is quite common. And it is common for the protagonists and antagonists to be depicted as noble heroes and evil villains in historical fiction. And in different orks of historical fiction different sides in a historical conflict are depicted as the heroes or the villains. In one version of history side A are the heroes and side B are the villains and in another version side A are the villains and side B are the heroes.

Since there are only about three possible outcomes in a conflict, a victory for side A and defeat for side B, or a draw, or a victory for side B and defeat for Side A, and since people disagree about whether side A or side B was the heroes, there are many people who claim that the losing side in various historical conflicts were the heroes and the winners were the villains.

Almost everybody believes that in real life the villains sometimes win and the heroes sometimes lose, and can point to historical examples where in their opinion the villains won and the heroes lost.

So it certainly shouldn't be hard for you to find historical models for fictional fantasy stories were the heroes lose and the villains win.

I may point out that The Hobbit and The Lord of the Rings have more or less happy endings - though marred by various losses - but in most of Tolkien's other Middle-earth stories the heroes and/or protagonists lose.

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I for one, would love to read a follow up novel about a world ruled by orcs.

So let me ask you this: Why not write that book instead?

In fact, why not make the orcs the heroes of your story?

Could the orcs be in rebellion against your Sauron character? Could
they be done with the entire thing and just want to wrap up the war
so they can go home to their orc families? Could they be bored and
just want to go home and watch Dancing with the Nazgûl?
Are there band-geek orcs and slacker orcs and intellectual orcs and
middle-manager orcs? Are there anal-retentive orcs and messy eater
orcs and orcs who have an allergy to bonefish?
Is there a rivalry between different tribes of orcs like sports team
fans? Is there a racial rivalry which is more serious? Is there a
rivalry between orcs and Uruk-Hai?

Figure out what fascinates you here. Is it that the Good Guys always win and you're curious about what happens if the Bad Guys win? Have you read any of the myriad post-apocalyptic dystopian YA series currently in vogue? Are those not appealing because the Good Guys still find a way to win? Do you think that exploring the other side of the story is inherently more interesting?

I agree entirely with @Werrf that Downer Endings Suck for the most part, so don't do that. If your orcs are the bad guys and they lose at the end, that's okay, because you can show that even though they are rounded characters, they are still the bad guys and they should lose. Or reverse it and the Good Guys lose because they are in fact not as Good as Tolkien would have it.

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warning: TV Tropes links ahead
Downer endings are okay
There's nothing inherently wrong - or, to be honest, all that original - with a downer ending. Stories where the villains win, or the heroes only win Pyrrhic victories, are really pretty common. As long as your story is compelling, and the villain's victory is more than just "They had more troops, so they steamrollered the good guys", it can be done. HOWEVER...
Don't tell a Shoot the Shaggy Dog story
Such stories can also be difficult to pull off. If you go too far into downer territory, you risk alienating your audience with a Shoot the Shaggy Dog story, where your readers end the story thinking "Well, what was the point of that??" You just spent a dozen hours with a group of people, got to know them, got to like them, rooted for their victory...then they all got squashed like bugs. Why on earth would I want to read a story like that??
Now, I'm going to declare some bias here and say that I hate downer ending stories, in large part because, no offence, mediocre writers tend to use a downer ending to disguise the fact that they have nothing new to say. Despite being a massive sci-fi and fantasy junkie, I don't watch The Expanse or Game of Thrones, because I'm sick of the bleakness that's infesting those genres at the moment. So in fact, you're as likely to lose readers as you are to gain them by writing a downer ending.
If you don't believe it, you won't write it well
This is the most important part. You can't write a novel by following a checklist; there's no magic formula for success. You need to have a story you want to tell, a message you want to get across, or your story just isn't going to work, you're going to be miserable writing it, and your readers are going to be miserable reading it.
Tropes Are Not Bad
As Terry Pratchett put it, "The reason that clichés become clichés is that they are the hammers and screwdrivers in the toolbox of communication." There's nothing wrong with telling a derivative story. Hell, William Shakespeare was telling derivative stories. As long as the story you tell is imaginative and interesting, there's nothing wrong with telling it.
One of the best fantasy series out there is the Belgariad, by David Eddings. The characters are fresh and lively and leap off the page at you as you read. The plot is also deliberately incredibly derivative - and it works.
In the end, you've got to tell the story that's in your mind. If the heroes fail because of their own faults and weaknesses, that's a powerful message to send, and it's a story worth telling. But if your heroes fail because Sauron simply has more orcs and he steamrollers them before Frodo even reaches Mordor, that's an anticlimax. It's a bad story, and there's no reason to tell it.

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