I discussed the Chopin Ballade No.4 as an example of a piece which begins in major and ends in minor with my teacher once, but he told me that the introduction is really in C major as the dominant of F minor rather than in F major - a bit like the lead-in to the secondary theme of Ballade No.3. Similarly, although the opening of Ballade No.1 appears to be in A-flat major, it functions as a Neapolitan sixth opening for the eventual home key of G minor. I suppose they could be argued either way, but there's no such ambiguity in Ballade No.2. (Interestingly enough, as is moderately well-known, Schumann, the Ballade's dedicatee, claimed that when Chopin performed the piece for him for the first time, the final chord was F major. Whether Chopin was simply following his usual pattern of playing whatever he wanted as long as it included the major ideas and some key passages or was still in the process of writing the piece and decided to conclude it in A minor after having performed it for Schumann I'm not sure.)
The finales of a number of operas, particularly from the late 1800s, also move from major to minor if they end tragically - sometimes the key signature does not even change (two examples which leap to mind are 'La Traviata', which ends with the key signature of D-flat major but ends in the tonic minor, and 'Il Trovatore', which follows a similar trend but with E-flat rather than D-flat).