Jude goes to Sue, they express their love for each other, they kiss, and they live happily ever after—hooray! Except that, sadly, that's not how this book ends at all, no matter how much we might want it to.
Really, the book ends with Jude's lonely funeral, only attended by two people—his horrible wife Arabella and the old widow Mrs. Edlin. Before Jude's tragic death, he goes to see Sue one last time. They express their love for each other, but they agree that they will never see each other again. Sue's guilt is so overpowering that she decides she cannot be with Jude ever again. And while Jude feels that seeing Sue once more is worth the price he is going to pay for it, walking through the sleet and the rain has driven the already ill Jude closer to death.
At the funeral, we know that Jude has died never really finding peace, but we do not know what has become of Sue. Hardy gives us a little hope when Mrs. Edlin says, 'She said she had found peace!' (6.11.73). Perhaps Sue's religious conversion is the real thing, and she has found some answers in her new faith? But Hardy quickly yanks the rug out from under us when Arabella responds, 'She's never found peace since she left his arms, and never will again till she's as he is now!' (11.6.74). In other words—Sue's loss of Jude has left her broken forever.
It's a little bit of cruel genius that Hardy gives Arabella the last word. Not only does she have the final say, but she also uses it to ruin any hope for Sue. It's depressing and more than a little wicked that the antagonist prevails in every way.
But Hardy's not just giving Arabella the last word to be mean to us—he's also making a specific point. In this cruel world that Hardy portrays, a world that can crush good people like Jude and Sue for loving each other without getting married, only people who are absolutely selfish and insensitive can survive.
Arabella is a manipulative monster, but she has the happiest ending of all of the characters in Jude the Obscure. The fact that Arabella is the last one raises another critical social question: do we want to live in a world filled with people like Arabella Donn?