Here are a couple of stories from past campaigns about epic fails that have turned into running gags.
Random Dragon Fire
So, this story happened a long time ago and wasn't a game that I was actually participating in, but I've heard the story about a thousand times so I thought I would toss it up here to share it in the list. Basically, it happened like this:
The party traveled through the city that was being attacked by an army outside the walls, their only goal to escape the carnage before it was too late. The dungeon master was, how shall we say, inebriated. He was also new to the game and inexperienced in the ways of running a smooth campaign.
Dragon flies overhead and breaths dragon onto the area. A member of the group is caught in its path. No roll to escape, no possibility to find cover. Just damage.
Enough to kill him.
This was in the first session of the campaign which was intended to run for months. Needless to say, twenty years later and that GM still hasn't lived it down.
Basically, anytime someone in my group wants to call attention to the unfair randomness of anything, they bring up the 'random dragon fire'.
One of Everything
Another time that we had a pretty epic fail involved a campaign where I was the dungeon master. I spent a lot of time building up the adventures, going so far as to add in riddles and poems in the world for different players to partake in. At the time we were running a pretty big group of eight players which just me as the Dungeon Master, so I had to get creative in splitting out the groups and keeping people busy.
So, in one of their dungeon crawls they all entered a ghost-like realm with a large table in the center filled with various food items. A ghostly waiter who stood by the table read them each a poem (which I gave everyone a written copy of) in their own little personal dream to give them benefits.
The poem described several different people who partook of the feast. Basically, it described a person eating two of one item and feeling 'stronger' or 'quicker' or 'more wise'. Or, they could take two items from the table from different plates to get different benefits. However, it clearly detailed out scenarios in which someone would get greedy and eat more than two items, and they would fall ill and die.
This was included along with some other simply riddles which the party worked out at their own speed, and as people finished I would take them aside and explain their stat boosts or whatever based on their choices of food to eat from the feast. Everyone got it.
Except one player.
I never imagined it would happen or I wouldn't have explicitly included the fail condition in the poem, but when I pulled him aside he showed me on the form where he had written in the answer: "I eat one of everything."
I had to follow through on my threat and he died. The way I explained it to him was that he saw everyone in the group around him still and lifeless, which was a bad idea on my part: his assumption was that everyone failed the test except for him.
The party had to drag his lifeless body out of the dungeon and spend everything they had to bring him back to life. Needless to say, he was not pleased. Now, whenever someone comes upon a challenge or riddle in any campaign the running gag is: "I eat one of everything."
Most of us think it's funny.