It's the typical "life is pain" Joss Whedon twist. Dr. Horrible may end up ruling the world, but he'll never get the girl of his dreams, even though she could have been his. He's going to keep himself obsessed with ruling the world to avoid the pain of loosing her. The few seconds with him in his traditional "video blog" scene, but in normal clothes are the twist that confirms what the song implies.

That's cause the ending was dumb. :P I want a new act 3!