I think we have all agreed that Tolkien's message is to show that evil will never be fully defeated. But, as
Aiwendil points out, the story of LOTR, is not a tragedy, it does have a good ending. The "evil" in the story is defeated, but evil in general is not defeated. Even Sam states:
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"I shant call i the end, till we've cleared up the mess," said Sam gloomily. "And that'll take a lot of time and work."
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I think this is Tolkien showing us life after a war. The destruction of the ring wasn't the end of the "War." The Battle of Bywater was, but even after the war you have the effects of war. And indeed it will take a lot of time and work, and maybe will never look as it did before. With that being said, I don't classify this as a tragedy.
Throughout the story we still get the reoccuring theme that evil will never be gone. After the Battle of Helm's Deep is won, there is still work that needs to be done. After the Siege of Minas Tirith there still work that needs to be done. Even after the destruction of the Ring, work needs to be done. And even after the end of Saruman. It's like a cycle, time and time again we see evil defeated, there is always more that needs to be defeated.
After reading LOTR I get the feeling that I think a lot of people get after war. It's great, we were victorious, but it won't last forever. But that to me doesn't classify it as a tragedy, it classifies it as the fact of life. A tragedy is a noble hero (or heroes) defeated by overwhelming odds beyond their control. The heroes in this story were not defeated, they just didn't defeat evil.
A true classification of tragedy is what we see at the end of FOTR (well actually beginning of TTT) the death of Boromir. A noble hero that was overpowered by odds he couldn't control.