Has an AFL game ever ended 39-36?
Yes. AFL has seen a final score of 39-36 3 times. It first happened on July 22, 1899, when Collingwood beat Sydney, and most recently on May 24, 1919, when Sydney beat Fitzroy.
That makes 39-36 the 1534th most common final score out of 6,607 that have ever occurred in AFL. One point away, 40-36 has happened 3 times and 39-37 has happened 2 times. Nearly all of its occurrences fall between 1890 and 1919.