It seems that there is some confusion about several issues in thermodynamics, so the following might be helpful.
1) If a system is not in thermodynamic equilibrium, certain macroscopic quantities may not be well defined, e.g. temperature as mean kinetic energy. However, entropy as a measure of our ignorance about the micro state is in general defined even far away from equilibrium. Otherwise we would not have the 2nd law of thermodynamics, because dS/dt ~ 0 if a system is in equilibrium.
2) The heat capacity of a gravitating system (Newtonian gravity) is in general negative. As an example consider a star radiating energy away, which will cause it to heat up due to gravitational contraction. This can be confusing, but there is nothing wrong with thermodynamics if one includes Newtonian gravity.
In general, the 0th law does not always hold and things can get funny, but this does not affect the 1st and 2nd law.
3) If we consider Newtonian mechanics carefully, we find that no classical system is stable and thus no purely classical system can be in thermodynamic equilibrium. This was historically the reason for Bohr to propose the first version of quantum mechanics.
4) In general, we do not know how to calculate the entropy of a particular spacetime. There is the proposal of Penrose to equate it with the Weyl curvature; However, there are problems with this proposal.
Things can get quite funny if one considers a spacetime which contains a naked singularity or closed timelike loops. Unfortunately, current state-of-the-art is still that one has to remove such geometries by hand on the grounds that things get quite funny otherwise.
5) In quantum theory, if a system is in a pure state the corresponding entropy is zero. If one assumes that the 'wave function of the universe' was initially in a pure state, it would remain in a pure state, assuming unitary evolution for quantum gravity (as suggested by the AdS-CFT correspondence). There is thus a problem for (some) many worlds interpretations in my opinion.