Man, that ending always gets me. After the big showdown with Atlas on Mount Tam, Percy and the gang are totally wrecked. Artemis takes the sky back from Annabeth, which is a huge moment showing her respect for Annabeth's sacrifice, and then Zoe Nightshade... well, she doesn't make it. Her final moments with her dad, Atlas, are brutal, and she becomes a constellation. It's a heavy, bittersweet victory.
But the real gut-punch for Percy is the aftermath. Annabeth is gone, taken by the Hunters of Artemis. When she tells him she's joining them, and then Thalia does too, you can just feel Percy's world shrinking. He's lost his two closest friends in one go. The book doesn't let him off easy, either. He has to go back to school and face a normal life after all that, which is its own kind of torment. That final scene where he's just sitting in his dorm, feeling completely alone, hits harder than any monster fight. It sets up his desperation in the next book perfectly, because you know he'll do anything to get her back.
Also, you can't forget the prophecy stuff. The Great Prophecy is finally revealed, and everyone thinks it points to Thalia because she just turned sixteen. That misdirect is so clever, because it makes you and the characters look the wrong way, taking the heat off Percy for a little while longer. The ending leaves you with this hollow, restless feeling, like a storm just passed but the sky is still grey.