Lovers (2006) - gangster w/a pregnant girlfriend fights attraction to a plastic surgeon who is also daughter of a preacher/orphanage head. Not a perfect series but the chemistry between the leads is amazing - they ended up dating for a couple years. It's one of my guilty pleasures; I've skip-watched it many times.
Cruel City (2013) - drug cartel underboss falls for call girl, who is an undercover cop. Incredibly twisty-turny story - not a real 'romance' per se (it gets REALLY complicated). This drama has both of my favorite action scenes of all time & a very memorable sexy scene between leads. Don't read spoilers!
Innocent Man (revenge story - he's a gigolo) and That Winter, The Wind Blows (conman) might also work - both endings aren't 'happy' however in the traditional sense.