Teams That Won the Title Then Lost the Next Season's Final

World Series
1913-14 Philadelphia Athletics
1922-23 New York Giants (to the Yankees)
1924-25 Washington Senators
1930-31 Philadelphia Athletics
1941-42 New York Yankees
1942-43 St. Louis Cardinals (to the Yankees)
1955-56 Brooklyn Dodgers (to the Yankees)
1956-57 New York Yankees
1957-58 Milwaukee Braves (to the Yankees)
1962-63 New York Yankees
1965-66 Los Angeles Dodgers
1967-68 St. Louis Cardinals
1970-71 Baltimore Orioles
1989-90 Oakland Athletics
1995-96 Atlanta Braves (to the Yankees)
2000-01 New York Yankees
2008-09 Philadelphia Phillies (to the Yankees)

NFL Championship (1932 to 1965), Super Bowl (1967 to 2015)
1933-34 Chicago Bears
1934-35 New York Giants
1938-39 New York Giants
1941-42 Chicago Bears
1942-43 Washington Redskins
1947-48 Chicago Cardinals
1950-51 Cleveland Browns
1953-54 Detroit Lions
1978-79 Dallas Cowboys
1983-84 Washington Redskins
1997-98 Green Bay Packers
2014-15 Seattle Seahawks

UPDATE:

2017-18 New England Patriots

2020-21 Kansas City Chiefs

NBA Championship

1947-48 Philadelphia Warriors
1955-56 Syracuse Nationals
1957-58 Boston Celtics
1972-73 Los Angeles Lakers
1978-79 Washington Bullets
1982-83 Los Angeles Lakers
1984-85 Boston Celtics
1988-89 Los Angeles Lakers
2004-05 Detroit Pistons
2013-14 Miami Heat
UPDATE:
2015-16 Golden State Warriors
2016-17 Cleveland Cavaliers

2018-19 Golden State Warriors

Stanley Cup (professional era, 1910-2014)
1916-17 Montreal Canadiens
1924-25 Montreal Canadiens
1925-26 Victoria Cougars
1928-29 New York Rangers
1932-33 Toronto Maple Leafs
1953-54 Montreal Canadiens
1955-56 Detroit Red Wings
1961-62 Chicago Blackhawks
1966-67 Montreal Canadiens
1975-76 Philadelphia Flyers
1984-85 New York Islanders
1999-2000 Dallas Stars
2000-01 New Jersey Devils (That one still pisses me off.)
2008-09 Detroit Red Wings

Soccer Bowl (1967-1984) and MLS Cup (1996-2014)

1980-81 New York Cosmos

1997-98 D.C. United

UPDATE:

2016-17 Seattle Sounders

2019-20 Seattle Sounders