As Don Nelson can attest, fouling the other team when you're up 3 doesn't always work out, either. There was this hilarious game in 2004 when the Mavericks were up 3 against the Miami Heat, with a few seconds remaining, and ended up losing the game in the most heartbreaking fashion.
In that game, Don Nelson did what Suns fans are crying about now: they fouled Miami. A Miami player hits the first free throw, cutting the Mavericks lead down to two. He misses the second. The ball caroms off the rim and hits then Mavericks' player Antoine Walker in the back, bounces off his back, and then goes out of bounds. Miami has possession of the ball, now only down 2. Well, Miami subsequently goes on to drill a 3 pointer with less than a second left in the game and wins by 1.
You should have seen Antoine Walker's anguished face after that game. It was priceless.