Quite often, actually. I tend to have a knack for finding bugs in games.
Most recently, there was one in Gears of War 3. I do not recall the name of the chapter we were playing, but the bug that cropped up forced the three of us to have to start a new game from a previous chapter.
In effect, what happened was, while my two friends were on the ground rushing to a crashed vehicle, I was perched on the outer walls of a base sniping any would-be assailants. About half way through the battle, a lambent locust climbed up the exterior walls and tried to run at me. I turned toward him and fired my sniper rifle from the hip, in the very least, to slow him down. To my surprise, my character never reloaded. I confirmed this by looking at my ammo count. Neither had changed. Chalking it up to a lag spike, I fire again. Shot goes out. Animation completes. Locust reacts to the shot. But, again, I never spent a round. I repeat this about five or six times, never killing the locust but constantly stunning him. When I tried to switch weapons, I could not. I couldn't even get into cover. So for the rest of the map, all I could do was "stun" people with the rifle and try not to die. At the start of the next chapter, it was still the same and remained that way for a majority of said chapter. At a point near the end of the chapter, we tried loading from the last save. Still had the issue. After numerous other attempts, our only recourse was to load a new game from the previous chapter.
Not technically "unwinnable", but damned annoying and all but ruined the experience.
However, I do recall a teacher of mine, back in high school, who told me of the time he was playing Thief and ruined his save. He was attempting to jump across a deep shaft and missed. Unfortunately, he was a bit overzealous with his use of the "quick save" key and pressed it as he fell. Normally, this wouldn't matter as he could just load another save file, but his "quick save" file was his only save. So every time he loaded, he just fell to his death. I still laugh at that one.