Tiverton Parkway to London a few years ago. Advance tickets. Got the day wrong to start with, and got tickets for a Tuesday instead of a Wednesday. So had to change them. Then realised that I actually bought tickets for the wrong week. (Bizzarely though, I had the correct return date, so not sure what happened there.) So decided that instead of paying out another tenner on changing the tickets, I'd get a Megatrain ticket from Exeter to Waterloo, plus a single from Tivvy to Exeter.
Unfortunately, the day I was travelling was a bit of a damp one, and there were some freak storms in east Devon, causing ice and snow to fall in one village, and - more importantly for me - flooding the line at Stoke Canon. Needing to get to London regardless, I had to get a walk-on ticket to Paddington, couldn't get a refund on the Megatrain service (as that was still running fine) and couldn't get a refund on the advance tickets that were still in my pocket as they were dated a week earlier.
Can't remember how much it cost me, but it was probably my most expensive mistake.