Hmm... Maybe when I lost Lydia.
We were travelling from Dawnstar to Riften on a business trip. We had suffered many attacks with everything from wolves to trolls. The only thing that hadn't attacked us was a Dragon. We had to make regular stops at cities, towns, mills and even a mine due to short supplies, bad weather and just because it was night (Lydia is afraid of the dark). So when we got to Shor's Stone I was very relieved to be almost at Riften. I had just finished selling some animal pelts to the town blacksmith when a Dragon attacked. Not just any damn Dragon either. An Ancient Dragon.
Half the town died that day and through the burning flames and heaps of dead bodies, Lydia was nowhere to be found. I searched every single body. Every building. Even the mine. She was gone. Lost. Forever. So I decided to reload an old save! But just before doing that, Lydia came running over to me, carelessly crushing bodies beneath her. What was probably most touching is that she was calling "My thane! My thane!" As she was running over to me.
....Actually it was the fact I didn't have to reload an old save.