Great thread, Doug and I am sure you will have some good responses to this one. The one you mentioned is a killer with hockey unders.
Everyone knows it takes a lot of courage as it is to bet a hockey under because every goal scored makes you feel terrible. But the end of the game for unders is a killer for both empty net goals and for teams scoring a game tying goal with six skaters against 5 and sending the game into overtime - where another goal of course comes.
For me, I would say the worst way to lose is back door final shots in basketball. Meaningless shots at the buzzer that end up affecting the spread or total, especially after having a big lead at halftime and such. Most of the time, these tend to even out over the long run to help or hurt but it's the worst feeling when you lose from it.