There has been quite a few but the one from recent memory that sticks out for me is Dean Shiels extra time winner in the Ayrshire derby league cup semi final 2012. We were underdogs and we were woeful that day, but it was horrible. Made all the worse that they went on to win it that year.
Also, a special mention for the horrific attempt at heading the ball back to the keeper from Andy Geggan away at Alloa a couple of years back when it seemed we had blown the title. Possibly the lowest ive felt leaving a game, but as it all worked out okay in the end its not as sore.