Right at the beginning of Pokemon XD, when I'm using the Salamence. I, of course, had never played the game, so naturally I think I get to keep the thing. But I didn't, as when I killed the Metagross with a critical hit Earthquake, I was returned to the real world with some guy I never met talking to me about how I'm a great trainer, but when I look on my belt all I have is a pathetic little Eevee! I'm like, "Where's that big blue dragon thing that I had before!" (Twas the first pokemon game I'd ever played.)
That's my biggest WTF Spinoff moment and first WTF Pokemon Overall moment EVER.