The Marquis de Sade (Geofrey Rush) dies from choking on a crucifix. Madeleine (Kate Winslet) is killed by the large crazy man who'd been trying to get at her from the start. Coulmier (Joaquin Phoenix) has sex with Madeleine's corpse (or at least has a VERY effective dream about doing so), and ends up going crazy, screaming for quills the same way de Sade did.
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Read more about this film at The Internet Movie Database.