I will update these as I think of more to add...
1. Making the painfully long flight from Orgrimmar to Un'Goro to do Alien Ecology quest, only to realize [Scraping Jar] is happily nestled in one of your bank slots in city.
2. Racing against another player to that mineral node/herb a second too late.
3. Accidently placing item for 2 silver instead of 2 gold on AH...of course it's bought out before you catch mistake!
4. Random invites to party, only so player can advertise "cheap wow gold!"
5. Realizing that all those [Flask of Mojo]s you gleefully found and sold are actually an item needed to level for your profession.
6. Clearing out an area so you can gather mineral/herb, only to have some stubby little gnome rogue stealth in and and take it before you can.
7. Members in party fighting and leaving in the middle of an instance.
8. Grinding quests where the drop rate of necessary item appears to be 0.0000000000005%.