The way I see it, Wah is the one to really feel sorry for, although Maggie's character deserves much better as well. I felt Wah wants to stop this whole gangster thing deep in his heart, but he keeps getting drawn back into it because of the stubbornness and stupidity of Fly, whom he just has to protect, that is the way he is. He loves them both equally but in a different way (obviously). He doesn't choose his brother over his girlfriend, he doesn't choose his girlfriend over his brother, he just does what he has to do, he has to deal with the situation.
Of course he could choose to break contact with his brother and live a happy life with Maggie, but that's the tragedy of the story. Be being loyal to his brother and by sticking to his own principals, he looses that what he really wants (Maggie) and what could make him happy.
That's how Wong Kar Wai tells his stories, apparently that's how he sees life, or maybe that's how he's warning us, cause a lot of people are like Wah, they know the right thing to do, yet they don't act differently. WKW doesn't believe happy-endings. I haven't seen all of his films yet (unfortunately, they availability of some of his work is pretty bad), but from what I've seen, it always ends tragically, and beautifully.
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