I have to bow down to the unluck in this thread so far. Holy crap, these are some bad stories. I've got a few of my own, though.
Friend of mine (playing
GKs) charges a 10-man squad into a 3-man Grey Hunter squad through cover. What happened over the next two rounds (Yes, two) of combat was a shock. First round - my Mark of the Wulfen
GH rolls a 5 (so 8 attacks thanks to Counter-Attack). Through luck of the dice, rolls 6 wounds. Then the squad hits with another 4. What happened next? 3 1s and 3 2s on armor saves to protect his
GKs. Then his Justicar, who needed 3s to hit and 2s to wound, managed to totally suck it up, rolling not a single wound. Cue another failed fearless wound, and he's down to 3 men in one round (and all of mine are still up despite having to roll half a dozen armor saves)
Second round hits, my pups hit hard again, landing 3 Rending shots and a handful of regular wounds. His Justicar finally lives up to his reputation, though, and slices through all three of my Wolves in one round.

Still, he lost 9 out of 10 models in that combat, and my
LRR was about 8 inches away for the next round with a Flamestorm ready to go.
The other one I had was against an Ork player at my
FLGS. Near the end, when I was hoping to still pull off a victory (despite having lost my
LRR and an entire 6-man term squad to a burnawagon) with a couple squads of Grey Hunters. One was in a Rhino, and my plan was to get them close, pop out, and rip a squad to pieces with overwhelming attacks. So, what happens? A one-shot rokkit launcher goes off. It was really interesting seeing my facial expressions throughout the whole thing, because...
"Roll to hit. Well, it's an Ork, so it's still a 5+ to manage it." (Rolls a 6)
"Huh. Well, needs to pen the thing, and he needs a 4 if he wants to destroy it." (Rolls a 6)
"After that, there's no way he'll get this lucky. Any damage result other than explodes, and I can charge next turn." (Rolls a 6)
Me: