What is newline character -- '\n'

NewLine (\n) is 10 (0xA) and CarriageReturn (\r) is 13 (0xD).

Different operating systems picked different end of line representations for files. Windows uses CRLF (\r\n). Unix uses LF (\n). Older Mac OS versions use CR (\r), but OS X switched to the Unix character.

Here is a relatively useful FAQ.

From the sed man page:

Normally, sed cyclically copies a line of input, not including its terminating newline character, into a pattern space, (unless there is something left after a "D" function), applies all of the commands with addresses that select that pattern space, copies the pattern space to the standard output, appending a newline, and deletes the pattern space.

It's operating on the line without the newline present, so the pattern you have there can't ever match. You need to do something else - like match against $ (end-of-line) or ^ (start-of-line).

Here's an example of something that worked for me:

$ cat > statesCaliforniaMassachusettsArizona$ sed -e 's/$/\> /' statesCaliforniaMassachusettsArizona

I typed a literal newline character after the \ in the sed line.

Escape characters are dependent on whatever system is interpreting them. \n is interpreted as a newline character by many programming languages, but that doesn't necessarily hold true for the other utilities you mention. Even if they do treat \n as newline, there may be some other techniques to get them to behave how you want. You would have to consult their documentation (or see other answers here).

For DOS/Windows systems, the newline is actually two characters: Carriage Return (ASCII 13, AKA \r), followed by Line Feed (ASCII 10). On Unix systems (including Mac OSX) it's just Line Feed. On older Macs it was a single Carriage Return.