On Final Fantasy Tactics : War of the Lions, I had neglected to save my game before heading into a random battle in one of the field areas.
In keeping with Sods law, not only did the battle go spectacularly badly, my entire party ended up getting knocked down and eventually expiring. As if that wasn't bad enough, with FF Tactics being the unforgiving game that it is, those party members were gone for good.
A thouroghly demoralising experience, given that the party was entirely composed of some of my best characters. Due to this mishap, I have still not completed, or even touched, the game to this day.
Also, anyone who played the Lost Odyssey DLC (the one with Professor K at the end) will know how annoying it is to have to repeat 25 floors worth of random battles everytime he wipes you out, thanks to the games designers brilliant decision not to put any save points anywhere in the dungeon! If it wasn't for that, I may have been more determined to try and finish off that boss again.