My scariest story from last year involves an arbitrage of CIEN and TLAB. I shorted TLAB and went long CIEN. One day before the vote on the merger, I got fearful and exited the arbitrage. (Thank you Glenn). The merger vote was called off. Had I still been in the arb position, I would have lost several hundred thousand in an instant.
I successfully shorted a construction company (cant recall its name now) as it fell into bankruptcy several years ago. IRID was similar (and an obvious play), but I was too shaken by the AMZN short and the CIEN/TLAB arb position to make hay on the IRID play. Oh well, there is always another opportunity.