My funniest loss, I think,was when I decided I was going to storm the HFS. I had a whole defense plan set up, based around a hanging box for marksdwarves to shoot from over a floor covered in rapidly retracting and extending menacing spikes. I had almost 60 highly trained melee dwarves to meet the weakened demons after that, with a long shaft extending up to the fortress with a huge block ready to drop down it, in case all of that failed.
The miner pierced the vein and demons started to spill out. He was torn to shreds in minutes as the horde surged up the stairwell and into the killing field. The marksdwarves opened fire, and the spikes took their toll, but it wasn't enough to stop the demon's onslaught. Only 12 of the 60 or so that arrived were killed, the rest were just annoyed. They met the melee dwarves after that, and the fight raged on and on, with heavy casualties on both sides but moving much more slowly than I was used to.
Then I saw the message: "A vile force of darkness has arrived!" and saw that three squads of goblin spearmen and some trolls had rushed in through the gate, which I'd forgotten to close behind the last caravan. Now I was stuck, with all of my military committed to the battle against the demons, only the fortress guard was available to fight the gobbos off. I use a fully functional justice system, so the Guard's wooden truncheons (modded in) were... ineffective. All I could do was watch as the goblins cut down my civilians and battered down their doors while the demons, still at a stalemate with my army, continued to press forward. Desperately, I tried to disengage the marksdwarves by taking their squad off-duty, but it was no use. They ran from the demons like I expected, but they were nearly out of ammo, and after they got what few shots they had left in they were just as doomed as the Guard.
The goblins eventually moved down to where the last of my military was still fighting the demons, and caught them from both sides. They were starting to get tired, and didn't last long against the still mostly fresh goblins. RIP my fort, all because I forgot to shut the front door.