I have had many fails in my life, especially while gaming. More often than not, it involves me overwriting save data (eg, my Trauma Center: Under the Knife 2 CLEAR GAME, after I had completed 2 bonus ops).
Otherwise, let's see...
My first Pump it Up!(arcade) attempt was on nightmare (WHAT WAS I THINKING?!)
Shadow Hearts 2 director's cut(PS2): attempting the bonus boss fight (Shichifukujin/Seven-Headed God)... at level 35 avg.
Clock Tower: The First Fear (SNES): deliberately running into Bobby/Scissorman to see what happens
Final Fantasy 6 (JP) [SNES]: Using a level 28 Locke to fight Kefka
Epic Fail: Actually spending sixteen dollars on Clock Tower 3.
Lastly, and I know it's an achievement, but...
Left 4 Dead (x box 360): Throwing a molotov at a witch. Dumbest. Idea. EVER.