I have two, both from highschool.
My first "sad" experience was from a Club Dredd gig during that era when productions were flourishing (circa '92-'94).
I can clearly remember that evening:
There was a full moon, and we all felt funky. Even our buddies who hopped in weren't feeling too well. We had to rush a guy to a nearby clinic before the gig coz he wasn't feeling well.
For some strange reason right before the gig, i sprained my ankle. (i forget the details)
bad luck struck again when we found out that we were getting shoved to be the 2nd last band on the list to perform. I lobbied against it, to no avail.
Right when we were about to get onstage, the last band pushed in and set up, to our shock and dismay.
They ended their (horribly noisy, cacophonous) set, dismantled their gear and left.
We get onstage, then just as we were about to begin, the lights suddenly got switched on... Didn't to play a single tune.
Second story, at some sports complex in Cavite.
We rehearsed like crazy, and made our way to the place. it was supposed to be a big local event, and there were HEAPS of bands, IIRC, 40 or something.
We were early and had a soundcheck. Then sat back and chilled, watching the other bands, deflecting the folks that wanted to borrow our gear (c'mon man! bring your own stuff!)
it was our turn to perform (close to the very last again - we must've sucked! hahah) then right after in the middle of the 2nd or 3rd song folks started running out of the complex.
a guy came in wielding a gun and threatened to shoot people. he was a local that couldnt tolerate the noise much longer.
our drummer froze as the guy pointed his gun at him. i snuck away from the stage, i felt that the guy was mighty pissed but wouldnt exactly shoot people.