Well I'm still going through the classic series, and I'm trying to save up for the Big Finish series but for me Donna all the way.
In the NewWho era most of the companions were able to depart with something. Rose while in the parallel world got her Doctor and one who would be able to age with her. Martha was able to find someone who could relate when it came to the Doctor (Mickey) and learn from the Doctor while doing what she could (being a Doctor, helping with UNIT). Then with Amy and Rory while their story is sad they were able to live out the rest of their love story. River was able to have her adventures with the Doctor and she sacrificed herself but not before indirectly showing Ten how important she was. Then with Clara her story is still being told...
Whereas Donna is tragic not because of a death but that she's still alive. She chose to travel with the Doctor and in many ways was similar to the Doctor from the beginning. I recall her words "never mind us" when she helps the Doctor with the burden of blowing up Pompeii. Then throughout the series we see her change from the Runaway Bride to the point where she becomes the DoctorDonna. Yet what does she come away from it? Nothing. She got nothing in the end. Yes, she had her adventure and saved the universe but she doesn't remember. She doesn't remember how special she is, she doesn't remember how important she is, and what she is capable of. She reverted back to the woman she was at Runaway Bride only she's going to live her life wondering why she has these gaps where she can't remember, why the headaches seem to be getting worse, why she feels like she's on the verge of remembering something and if by chance she does remember the failsafe kicks in and pushes her to unconsciousness...
It's a very poignant ending I have to admit even though I don't like it but that's because Donna is my favorite companion along with Martha.