I don't know about Stalin, but for Hitler what you've probably heard is that of Geli Raubel, who lived with Hitler, not quite by choice. She was his niece, so their relationship was particularly creepy. She was entirely confined to their apartment, given very little contact to the outside world, and the few people she was able to confide in noted she was very depressed. She was a young twenty some woman living in an isolated apartment surrounded by armed guards, so you can imagine how she felt about her situation.

Hitler obsessed over her, which led to this paranoid imprisoning of her, and she ended up shooting herself in the head. Her death traumatized Hitler, and he never loved or cared for Eva Braun in the same manner he did Geli Raubal. This is the only woman we know of besides Eva Braun to engage in a romantic relationship with Adolf Hitler. There's other women, especially in his Vienna years, who he may of had some sort of flings with, but it's impossible to confirm.

'Rise and Fall of the Third Reich' by contemporary reporter William Schirer, despite its general historical unreliability, goes into depth about their relationship.