I know. Battle Frontier FTW!
Well, it was in Pokémon Silver; I had finished beating the game and catching some Legendaries (also, I had seen the movie 2000) and well, I decided to go back and capture Lugia, being the game's mascot and all. So long story short, after an insane amount of Ultra Balls and many tries, I threw the damn Master Ball at it. I looked away for a second and suddenly heard a "poof" sound on my TV (I played it through Pokémon Stadium 2), and saw Lugia... free... not caught. I looked at my inventory, thinking I must've mischose another Ball, but when I looked at my Items... it was gone. The Master Ball was gone. Lugia... escaped from a Master Ball.