FA Cup Final, no doubt about it.
My Dad and I had to forgo our tickets to the 2011 Final to visit family in Scotland. I was gutted at the time but he reassured me there'd be other Cup finals soon. He was right, and we moved heaven and earth to try to get tickets. Ended up with Club Wembley ones at £125 each, after my brother pulled a few strings through his work contacts.
All that effort to get tickets, the money we spent, and the burning desire to atone for missing 2011 and seeing City lift a Cup at Wembley...only to witness such an depressing, abject performance. It's not so much that we lost; it's that we were deprived of a great moment, and opportunity celebrate something (Wembley was full of Blues that day). As someone mentioned in a post earlier, those moments are what being a football fan is all about.
What's more is that I'd normally really enjoy seeing Wigan win the FA Cup and witnessing a giant killing that will be replayed for years to come (my generation's Wimbledon v Liverpool), but even that's been taken away from me because it happened against us! I've not been able to re-watch that game and I probably never will.