The worst is definitely when something outside of your control happens that ends a good game. Software crashing, an important solenoid failing, a switch error ending a ball, etc. Ending with an EB lit or a shot away from a wizard mode is rough, but at least those things can be chalked up to player error and those moments make it so much more satisfying when you finally do reach that wizard mode.
I'd say the worst way to end a game caused by player error would be tilting on the last ball though. There's just something super lame about a game ending without getting a final bonus sequence, especially in games with music or sounds specifically for the last one like Whitewater.