I have a few entertaining stories, all from the same campaign. Nothing crazy, nothing game-ending, but nevertheless.
As one of the first challenges, my players had to survive a realistic desert - and were close to failing the extended skill challenge. Halfway through, one of the players asked for a new character. I let them know, in a lot of detail, that his previous guy has gone into a coma from the heat, and in the dark of the night, had his brain eaten out by an enterprising scorpion. The players were much more careful about deaths from there on.
Later, they had to face a series of "divine challenges" to prove their worth. The penultimate challenge? An illusory Hydra. When the players saw it, they swore at me colourfully for making them face a hydra. They spent about half an hour trying to find clever ways to defeat it... until they realized that it wasn't real. At which point it dissapeared, to their chagrin.
As a bonus, the hydra was "held" in place by a giant chain. Obviously, one of them asks what the chain is made from. Pure gold, of course. So he asks to climb it (succeeds checks), hacks off a piece (succeeds more checks)... and is then struck with a curse of greed, to never let go of a piece of gold the size of a chair. He babied that thing for the rest of the campaign.
Later, divine challenge completed, they had to descend from a terrible, snow-covered mountain. Somebody rolled a 1 on balance, and their horse broke a leg. The cleric decided to heal... and rolled a 1. The consensus was that she snapped the leg off, and started beating the horse with it yelling "HEAL! HEAL!" Her healing skills weren't trusted since.
This one gets quoted to this day
My final tidbit was in a major dungeon encounter with gnolls and their advanced kindred (4th ed). I had a certain necromancer thing summoning gnoll bone golems (the name evades me) endlessly. One of the players has been playing WoW for years, and was playing a Defender character (Warden). So he figures "It's the boss, I will charge it!!!!1" and he did. Well, he was promptly mobbed with 8 enemies that were gathering up, and torn apart. For effect, I had the minions pause for two turns to completely destroy his corpse, and eat chunks of eat. He was... appalled.
I have a lot of fun with my players. Right now I am in a long-term planning process for a long campaign inspired by roguelikes, survival horror and the Lord of Madness book from 3rd ed. There will be mutations, madness, and confusing puzzles. Set in the Underdark with occassional corrupt politics aboveground, it will feature several horrible creatures from that delightful book, as well as an elder Aboleth. It will be glorious.