Yeah, we all love taking Torin the Chosen (or any sufficiently-powered hero) across the continent, leaving a trail of conquered cities in his wake. We all love it when that single Halberdier unit on city defense takes out a raider force 4x its size with a little luck, artful maneuvering, and spellcasting...
What's your worst moment so far? The one that caused you to realize that you were probably boned and should start over? (besides having your capital taken out by raiders in the first few years?)
I was minding my own business in a recent game- it was only about 1410, I'd only recently met Horus and Freya with my Magic Spirit, barely had my continent mapped out... and Sss'ra cast Meteor Storm. Fred only knows where he got all that Mana that quickly, considering I hadn't even gotten the troop strength built up to take even one nearby node down on Arcanus.
My buildings started getting destroyed pretty regularly after that- and of course it was the Granaries and Farmer's Markets, leaving my troops without food to subsequently desert me at the beginning of the turn since you can't adjust food allocation in time.
I tried soldiering through a couple more turns, but it became clear pretty quickly that I was beaten since I didn't have the mana for a global Dispell.

When I'm playing around with a superhero game (artificer build, summon champion, kit him out, turn him loose), and he gets eaten by a great wyrm. Seriously, there's only a few monsters in the entire game that I pretty much won't send a high-level, highly-equipped hero against any more, and great wyrms are one of them. (I'm a bit paranoid about air elementals, but the other biggies are sky drakes and, sometimes, death knights)
When we get the capital city conquered by a raider. *sigh*
actually, anything involving air elementals. "Conquer that node filled with phantoms! It'll be easy OH GOD THE AIR I BREATHE TRIES TO BEAT ME TO DEATH" I know, I know, they're not really that dangerous, but they really mess up ranged-heavy stacks.

There's all kinds of ways I've managed to lose the game, but by far the most frustrating was a recent game involving Sss'ra, Ariel, and one other life magic user. I get my first army together, beat the ghouls etc. in the nearest wizard tower, click next turn, and lo and behold, Sss'ra has cast Planar Seal. I fail in my attempt to conquer a foothold in Myrror when my rag tag fugitive army get butchered by the dark elven ranged magic attacks.
No problem, build a better army, disjunction the Planar Seal, and try again. Well, apparently Ariel had made it to Myrror too, 'cause she cast Planar Seal the turn before my disjunction went off.
Long of the short, I achieved total domination of Arcanus before I managed to actually get any presence in Myrror, because there was always at least one Planar Seal in place. Made me want to tear my hear out.

heh. I start slow. I always have in most 4x games. And the completely unforgiving diplomacy AI in MoM is the cause of most of my restarts.
I'll be tooling around with my magic spirit, discover most of the races ... then all of a sudden he'll get too close to a city and one of them declares war on me. The next turn they ALL declare war. Since I spend so much time building buildings and not enough on units and expansion I promptly get trounced when they roll up 3 halberds and 4 swordsmen into my capital that only has B'shan for his gold input and a couple of swordsmen.
Its why I prefer to start custom, and pick Sssra's portrait, and take Myrran. The AI can't start there if it can't be Sssra. Gives me a bit of breathing room and I've only got to worry about the occasional throng of phantom warriors ripping apart my settlements.

Made me chuckle! :D Those life mages are funky with those global enchantments.

I've had my share of disasters, but there was one ...
Well, I just call it "The Incident."
I like to have a decent army and economic structure in place before I deal with other wizards, just in case I need to fight right away and to back up my army with more waves of cannon fodd... er - troops. It's also great for holding off the occasional rampaging monsters as I plough my way forward through the offending towns. I mention this so you have an idea of what my strategy looks like.
So when I say that I forgot to stop military production for a few months and began outstripping my food capacity, you can understand that that, in and of itself, was no great horror, and it concerned me very little. The fight was going well, and I anticipated capture of a nice juicy capitol shortly which would have provided much breathing space.
The turn before my army was to descend with fearful wrath upon my foe, a nearby neutral town, impressed no doubt by my rugged good looks and hefty armed forces, decided that they would throw their lot in with me. They did not, you will note, ask if I wanted their help. I certainly did not want the full cadre of nine spearmen that they sent my way, which pushed my food production into heavy arrears and caused two thirds of my big army (the two thirds that weren't summoned) to desert for lack of food.
Whoops.
The remnants of that army were overrun and destroyed by the garrison of the very town they were planning to take over the next turn.
And it get better. Lacking that final push, the enemy I had cornered and was busily hammering decided that he could just up and cast Great Wasting. The nerve. Anyway. Corruption began to show up everywhere, and I was left with even less food than before, a rapidly diminishing army, and the inevitable arrival of the third party to the fray.
Considering the game had been going quite well until The Incident, I decided to load an old save before I could be completely annihilated. But I've never, even in close games, seen a fight go south so quickly, and all thanks to a "helpful" party of Lizardfolk and a quirk in the game engine which doesn't give you time to adjust your food stores after a neutral city joins you of their own volition.

I had Torin decked out, a full complement of 8 stacks of admantium paladins defending my home city and was thinking about starting a new game because this one was won.
Three of the opposing wizards had Cracks Call and came at me in waves,cracked called everything in one turn and banished me, it kinda blew me away.I had found a shield of wraithform but I never equipped Torin with it .

The first time I tried the latest patch comes to mind (not the fairly recent home-made one, but the latest official).

I was used to win games on Impossible without much effort, but this time Tauron (who was on Myrran) decided to cast Time Stop! What the...?! That used to be one of the spells the computer never used! Anyway, I managed to get his capital with some Paladins or Slingers or whatever. It was full of Great Drakes and other high level summonings, but in the end I won.

Now, I was used to banished wizards never returning and never moving their units while banished (a bug from the previous patch). Well, not this time. He was back in no time, and there was simply no way I could keep up with his magic and military power. He could attack my capital, cast Time Stop and cast Spell of Returning WAY too fast for me to handle him!

So, I'll add Time Stop to my list of "terrible global enhancements" for the AI wizards to use. It's right up there with Armageddon, Great Wasting and Meteor Storm.

Lesson learned, if you're going to play on Impossible difficulty in the latest patch you'll need to either have some speciffic strategy (Torin, Wraiths, Paladins, Slingers) or use save/load to your advantage.