I haven't really been collecting long enough to have a "worst" moment yet, but so far, my best undoubtedly has to be buying a mid-sized plastic bag crammed full of G1-G3 ponies and a few fakies for $7.00. Most of the fakies turned out to be Soma fakies (the 2"-high guys with blue eyes, minimalistic symbols on their left side and the words "(c) Soma China" stamped on their underside) -- the same ones from a collection I had as a kid (though I only got 4 out of the original 6).
As if that weren't amazing enough, I also got my very first Firefly (the Firefly's Adventure version) -- she was completely concealed by all the other ponies in the bag, so it was a real surprise when I opened the thing up and found her inside.