Dr. Horrible's Sing-Along Blog, besides being awesome, strikes me as an example of the intent of what White Wolf calls a prelude. (If you haven't seen it yet, be warned that there are some spoilers coming up.) It's a fairly short story about one character who then goes on to have a series of adventures with another group of characters, who are introduced in the story but not central to the action. In the course of the story, something goes terribly wrong, setting up the (implied) motivation for the character's later behavior, lending depth and tragedy to any later stories.
If nothing else, it's a good illustration for why a prelude might be a good idea. Were Dr. Horrible were to show up in another movie or show, antagonist or otherwise, he'd be much more understandable and even sympathetic than if presented cold. (Which is funny, because in the show I don't think Dr. Horrible is actually all that sympathetic until the end. He doesn't seem to have much concept of other people as independent actors, with lives and feelings of their own. Which is sort of the point, I suppose.)
Being a movie, the comparison isn't perfect. The Whedon brothers have a lot of latitude in setting up the specifics of their tragic payoff, because they're writing everything out ahead of time. Trying to get that level of premeditated cohesion in a game would invite either the potential for the whole thing to go horribly awry, or boredom as everything plays out exactly according to schedule. By necessity, you'd need to be willing to play a little fast and loose with exactly how things turned out.
But starting out with a character and a simple-ish goal wouldn't be a bad way to go. The "element of tragedy" part might be a little bit tricky, but luckily World of Darkness games tend to have that built in. "Character X wants to do Y, but whether he succeeds or fails he will in the process get vampirized" is pretty gameable, especially the vampire involved has his own motives.
Without such an obvious avenue, the easiest thing to do would be to agree with the player ahead of time that, regardless of whatever else happens, at some point something terrible is going to happen to their character. Might even go so far to have them come up with something cool and character appropriate during the course of the game. One thing that would help with defining a tragic moment on the fly like this would be giving the character some kind of defining flaw to build off of -- the classic approach, and one Dr. Horrible uses.