This is from a game of Warhammer40k itself, rather than a more RPG style game, but I thought it was a funny story so I'll share:
A friend and I were playing a game of 40k, my friends Imperial Guardsmen versus my Chaos Daemons, and I had taken a silly army with lots of Monsterous Creatures (this was only in a 1000pt game) and he had gone for a fairly standard mix of Infantry and tanks.
The silliness began early on in the game where my greater daemon of choice (a Bloodthirster) was shot at by a the only guardsman from a particular squad to be in range, only to be hit and killed by the shot. We were both pretty speechless at this point, not only because lasguns suck but because my Bloodthirster had been flying at the time and therefore hard to hit.
We naturally then invented a name and backstory for the guardsman - whose name, it turned out was Olaf and he was a hopeful Vostrian guardsman who hoped to one day be a commander.
Because of the insult of my greater daemon having been killed by a lasgun shot I decided I would stop Olaf's dream from coming true by purposefully slaughtering the entire chain of command in my opponent's army to prove that he was nothing: A mere mortal.
My remaining daemon princes set upon his warlord and his veteran squad sergeants with ease, but they were slowly being weakened by his tanks and lots of meltagun fire. Eventually I had a single daemon prince left with the mark of Khorne (close combat). He had just chased down the last of the veteran squads and that meant there was only one target left - Olaf's unit.
We had been rolling Olaf's shooting separately to see if he was special but he had failed to do any more that entire game so far.
My final daemon prince charged Olaf's unit and killed every person in it except one plucky young guardsman - Olaf. Olaf then proceeded to not only hit but also wound my daemon prince and kill him.
Olaf is now my friend's imperial guard company commander and his full title is now 'Olaf Daemonbreaker'
I find games are always the most fun when silly things like that occur