One complaint is "Penny dies and that sucks." This is a totally valid complaint, Joss you bastard.
However, the related complaint of "Penny's death turns Dr. Horrible properly evil and that's a stupid cliche" I'm not sure is valid. It relies on seeing Dr. Horrible's Sing-Along Blog as an origin story -- Dr. Horrible starts as an ineffective, idealistic anarchist who doesn't want to kill anybody and turns into a proper villain. Penny's death lets him join the Evil League of Evil, and he becomes successful although not happy. But that's not the interpretation I have of the film. I think it's an ending story. It's how he stops being a villain.
This interpretation relies on two things: the ambiguity of the first part of the last song and the previously-established fact that not everything that happens during the songs is part of the continuity. I think that what's onscreen during the first part of the song (up to the point where he lays Penny's body on the, um, whatever that white thing is) represents what's actually happening in continuity, and somewhere between there and the point where Dr. Horrible is shown entering the party it slips from what's happening in the world of the show to what Dr. Horrible is fantasizing about. I think I'd put the transition at the point where the groupies are shown; it could be earlier, but he looks pretty shell-shocked in the bank heist so that might be meant to have actually happened.
The previous fantasy sequences, for reference, are in Act I in the laundromat when he briefly freezes Penny with his finger and in Act II at the end when he's 100 feet tall stomping around downtown. Neither of those is part of the continuity; they're Dr. Horrible's fantasies.
The first part of the song is very nicely balanced between lamentation (with irony) and supervillain gloating. The way Neil Patrick Harris sings it is clearly lamentation. I think that's his actual feeling; we then get the what-if fantasy of the alternative interpretation before switching back to reality with the last two words. At that point, not only is Billy not wearing the cool new blood-red Evil version of his outfit, he's not even wearing his goggles or labcoat. I'd say he's given up villainy and gone back to just being Billy.
(Well, actually I'd say it's pretty ambiguous. But I haven't seen anyone else mention the fantasy interpretation at all, so I wanted to get it out there.)
Here lies everything
The world I wanted
At my feet
My victory's complete
So hail to the king
(Everything you ever)
Arise and sing
So your world's benign
So you think justice has a voice
And we all have a choice
But now your world is mine
(Everything you ever)
And I am fine