D3 has many major setbacks for the player:
1) A major character (Cain) dies in the first act. Leah basically dies as well. The only person to die in WoL in actual canon is Tychus (the guy who was basically working against you the whole time, he was the Adria of WoL).
2) Tyrael loses all his powers and never regains it. In WoL this would be the equivalent of recruiting Tosh only after he loses the support of his spectre army.
3) Your time spent helping Zoltun Kulle ends up being worthless since he betrays you.
4) Your time spent killing Belial and Asmodan ends up screwing you over by making Diablo only more powerful. These last two things are the equivalent of gathering the artifact in WoL only for it to fall in the wrong hands. Really, the only part of the game that wasn't in vain was putting together Tyrael's sword pieces. The entire tone of the game is sort of dark. Compare this to WoL where you basically accomplish all your stated goals as trumpets of victory and happiness play.
5) Heaven gets ransacked along with pretty much everything else. This is the equivalent of the Hyperion getting severely damaged.
Along with its share of plot twists, I think the story ended up being better than WoL. I'm probably the only one thought who didn't think it was obvious that the Emperor = Belial. I don't know, it was definitely a possibility, and maybe I'm just slow, but I bought the Emperor's explanation at the time. Also, the generic threatening banter of villains was offset by good worldbuilding and the interesting things people said in their downtime. I came to actually care about the templar and the scoundrel.
Now, with that being said, I have to agree that WoL's juvenile "you always win syndrome" is back in full-force. There was a sort of disconnect as to whether my player was a random human with exceptional talent, or God incarnate. There was no weakening rituals or anything like that for the lords of hell that you defeated. You just bitchslapped them back to the 13th layer of hell like a god damn badass. It's like...erm, what? With this kind of power you could punch a hole in God as well as the rest of the high heavens. In the meantime, the rest of the weak humans labor to hold the line against menial demonic forces. But again, and maybe my standards have been lowered by WoL, but this is sort of to be expected for a mindless dungeon-crawler clicking game.
Also, this "end of the world" crap is really getting old. I really hope Blizzard tries something else in their upcoming games. =/