I lost, sold or stored a Dragon Priest Mask and never found it again so didn't have the complete set when I needed it. I went to each store, every previous follower and all my houses to search for it - but it was nowhere to be found.
Another silly thing I did actually turned into quite a cool challenge. This happened a while ago so forgive me if the details seem a bit sketchy - I am relying on my memory, which is pretty rubbish at the best of times...
I was supposed to be meeting Ulfric outside Solitude and so I fast travelled to the Blue Palace (without realising that Solitude was in siege mode) and before I could leave through the main gates to meet him and begin the fight, I got arrested (can't remember why or how it happened). Rather than just reload to where I first entered at the Blue Palace, I decided that I may as well try for the Wanted Trophy and break out of jail.
I went through the secret passage and found the chest that was conveniently placed in front of a hole in the wall but do you think I could get that lock picked to get all my gear back? I had pretty good lock picking skills but I only had one lockpick and this wasn't a one pick job.
I decided to leave through the trapdoor and go to my house in Solitude to get some things to sell at one of the stores so I could buy some more lockpicks and then go back into the prison and get all of my enchanted armour and weapons (which I knew I would need for the upcoming battle).
Of course when I left through the trapdoor, the game autosaved and I found myself in the middle of a siege and I was the only Stormcloak that side of the gates of Solitude (Ulfric and the other Stormcloaks were on the other side awaiting my arrival). I couldn't fast travel out because there were enemies everywhere - and here I was, wearing a sack with not a weapon to my name.
I eventually made it to Proudspire Manor (I think I shouted my way through) and took basic armour from the mannequins and some weapons from the display cabinets (none of this stuff was enchanted or smithed up - they were for display purposes only!). I couldn't sell any of it to buy lockpicks because none of the stores were open for business anyway.
I somehow made it to the gates of Solitude wearing my inferior armour and carrying my close to useless weapons. On the other side I had to listen to Ulfric rabbiting on and rallying the troops while I stood there thinking that the moment that I had been building up to - my hour of glory - was going to be nigh on impossible without my best weapons and armour.