Many of the obvious ones have been taken, so I’ll go for some less obvious choices.
I’ll admit I didn’t see all of these but the last one live, but how about:
Damon Hill – Britain 1993
Was beating Prost handily, looked set to take his debut win at home… until the engine failed him. The fans were pretty much shocked, if I remember the video correctly.
Jean Alesi – Italy 1994 AND 1995
In both races, he had a brilliant start, got a bit of good luck on his side (MSC banned in 1994, and getting taken out along with Damon Hill in 1995). But in both cases, his car fails under him, and he was despondent. To make things worse for Alesi, he finished 2nd in the Benetton in 1996… behind MSC in the Ferrari.
Mika Hakkinen – Spain 2001
45-second lead gone up in a bunch of hydraulic smoke. No tears from Mika this time, but you knew it was really bad when Michael (who lost the lead and fell behind badly after a tyre problem) approached Mika after the race. He practically apologized for winning that race instead of Mika.
Giancarlo Fisichella – Brazil 2003
Sure, he got the win back a week later, but the night I watched that race, it was painful to see Fisi’s delight turn into sheer despair. Had the F1 community been what it is now back then, I’m sure the fans would’ve torched the stewards and forced them to see the mistake they made in the results (counting back by 3 laps instead of 2), getting the result right a lot sooner.