I've had a couple.
I remember when I was doing the GT World Championship (Amateur) with the Vertigo Race Car, I dominated the whole champ. up until the last race, which was Grand Valley I believe, I was having a tough time keeping the Team Oreca Viper GTS-R at bay while winding down the laps.
And on the last lap my tires were too worn and my car not fast enough (I think I needed an oil change pretty bad) the Viper passed me at the chicane and I couldn't even draft him to keep up and maybe pass him. I still won the champioship of course but I had lost the perfect 100% win ratio I had been carrying. I admit it was almost a weight off my shoulders to not have to win ever single race after that since my win ratio was already broken.
My most recent bad moment was like a few weeks back when I was having this amazing battle against an R390 GT1 with my mildly tuned S2000 LM Race Car at Seattle Circuit II. The cars were so perfectly matched. I was running full out and couldn't open up a gap between me and the Nissan, and he couldn't open up a gap when he would pass me. We traded "1st" and "2nd" the whole race.
For sure it was going to go down to the wire, when on the 3rd gear right bend, after the 'jumps', I misjudged the distance of my car to the R390's (I use the in-car camera) he braked really soon and I thought I could pass him nice and clean on the inside when instead I slammed into him with my left front fender sending him into the wall completely destroying the mood.
He lost his whole momentum and waiting for him to catch up to drag on the final straight just wouldn't have been right.
My S2000 might've come across the finish line 1st, but it felt like 6th to me.