(Warning: it’s a long post, but it’ll answer your query on the topic thoroughly.)
14 April 1996.
In one of the worst chokes in golfing history, Greg Norman, the then world no. 1, squandered an almost unbridgeable lead of six shots to lose by a big margin of five shots to Nick Faldo.
3 July 1993.
Women’s singles final at Wimbledon.
Jana Novotna lost the first set 6-7 to Steffi Graf. Won the second 6-1, and was leading 4-1, 40-30 in the final set.
She had the momentum and, more importantly, a massive lead. Yet she failed to close out the match and lost five games in a row from there to concede the final set (and the match), 4-6.