The game that springs to mind for me was Oldham vs Wolves in the FA Cup third round in 2007.
We didn't win but it was a terrific game and maintained my record of never having seen Oldham lose a game.
Of course we lost the replay and since then I have seen Oldham lose plenty of times.
http://news.bbc.co.uk/sport1/hi/football/fa_cup/6214041.stm