For me it was getting up in front of 1000 and realizing that my MP had fallen out of my pocket where I was keeping it warm. I made a joke, asked the audience if anyone happened to have a trumpet mouthpiece (of course there was silence and some laughter) and a few seconds hence one of the other participants brought it out to me just as I was preparing to leave the stage in disgrace. I'd left it just backstage after fidgeting with it in my nervousness (playing Ponp and Circumstance at a graduation with 3 weeks of playing time under my belt - not for the timid!) I was so nervous and shaken there was vibrato on every note and I got dead air on the very first note because my mouth was really dry after my faux pas.
Of course, audiences not being musicians, everyone had positive comments and I'll be doing it regularly.
I don't regret it a bit. If you want to tell stories, you've got to take chances.