It always sucks to lose a tournament game, but the Elite Eight losses in 95, 98, and 02 don't really stick in my craw as bad losses, seeing as in all three of those seasons, the UConn teams pretty much hit their potential and went down going toe to toe with opponents that were better than them. I look back with a "what could have been" attitude toward Tyus Edney going coast coast against Mizzou more than any one thing about the game with UCLA. In 98, I'm more mad about getting put into that region with UNC, with the regional being in Greensboro, when I think we were the best 2 seed that year.
Given my age, being born in 85, here are the 5 that were the most brutal for me...
1) Sweet 16 1996 vs. Mississippi State - This is the only sporting event I remember crying over the result of.
2) Elite Eight 2006 vs. George Mason - I know this team had issues with compete level and mental toughness, and they probably would have lost to Florida, but damn what an embarrassing loss.
3) Sweet 16 1994 vs. Florida - This is one of my earliest memories as a sports fan, it was the first season I really followed the program. This one really hurts, because the path was laid for that team to go really deep.
4) Second Round 2005 vs. NC State - A portent of things to come the following year. Bounced because they couldn't get up for an inferior opponent.
5) Second Round 2000 vs. Tennessee - Missin' you Khalid...
Honorable mention to the AJ Price ACL game (I'm sure it would be on this list had I not been in France on a college trip at the time, and unable to watch the game. I refuse to watch any footage from this game) and the Syracuse 6-OT Big East Tourney loss.