The worst one to happen to me was a Sega HKT-01 some years ago, back when I wasn't so poor. I remember nobody bid on it except like two people who had fuck all money - probably the seller just boosting the price/making it appear people were more interested - so at the last minute I threw in my max bid and won. I can't remember the amount, it was more than I wanted to pay but I was younger and had nothing better to do, we'll say ~$300.
Great, I won! Now to go and pay for this thing. I went to go and pay but all that happened was the PayPal page kept loading - literally just their landing page, nothing else - eBay had a different interface back then and strange things did sometimes happen, especially if the seller had their own "checkout" setup. I navigated back to the auction page to start the payment process over, having not entered any details to PayPal I had not officially spent anything yet and I figured it was just a one off bug and the seller probably had a retarded checkout system hooked up... Yeah... The item sold for about $120 to someone else. I still had my e-mail to say I had won so I tried eBay and I tried the seller, but nobody was going to help. The item and the seller's account then mysteriously disappeared so by the time eBay got back to me there was nothing they could do.
It wasn't such a big deal because I hadn't paid and nothing ever came of it, but I wanted that dev kit damn it. I suppose on the bright side, the chances are the seller didn't actually have one and was doing something dodgy trying to rip people off. Then again, similar things happened with two smaller items but in those cases when I hit "Pay Now" the page just reloaded and then stated I had lost despite the winning bid being less than what I had previously seen a win message for, perhaps the system was too slow to catch it properly. The dev kit though, I had already bid significantly more than the winning bid over an hour before and had only put more on at the last minute to make sure, definitely something fishy.
This was in 2008 or 2009 somewhere, the whole system is different now.
As for those custom checkouts, I hated those things, I even got a strike on my account for one because I bought from a US seller and his checkout had no idea what was going on so, in short, I couldn't pay. I wrote to the guy and instead of trying to help or cancelling the purchase, he instead went off on some rant about me being a waste of space and reported me to eBay for not paying, even though I had explained to him that his retarded checkout had no idea what a UK address was and therefore wouldn't allow the payment stages to complete (After entering your address, the system would have gone to PayPal on the next page, without a "valid" address you couldn't get to that page to pay for the item). I got a strike for that and I did nothing wrong, that stopped me buying a few things for quite a while - this was in 2007 - but, luckily, everyone else who had one either let me pay a different way or cancelled the purchase. As for the guy who got me the strike, don't offer international shipping if you can't accept international addresses, not that this is really relevant today as eBay seem to have done away with that stupid system some time ago. The problem today is those computer component sellers who automatically sign you up to their site and their newsletter when you buy something, can't tell you how many times I've had to cancel my account on one of them because they've been good at changing their name and omitting this information from their terms of sale.