Kurozuka

Watch: http://www.zomganime.com/kurozuka-episode-1/
12 episodes

Read about: http://en.anime-wiki.org/wiki/Kurozuka

Manga: http://www.mangafox.com/manga/kurozuka/

Happy ending?

I wouldn't say its a sad ending. I enjoyed this anime immensely.
I've heard this one also called A Thousand Year Romance.

In the last episode Kuro finally meets up with Kuromitsu.
She explains to him what has happened to him.
His transformation was not complete and every so many years his body dies.
Therefore she has to chop off his head and attach it to another body.
Every time she does this he looses his memory.
When he awakens he is driven to search for his love (her) because she is the only thing he can remember. She is trying to find/make him a perfect body during this time.
The story never ends. He awakens, he finds her, he gets his head chopped off.

I loved it!!

I haven't read the manga although I heard he gets his body back and gets to live happlily ever with Kuromitsu.