Well, not really, but maybe the saddest story involving survey research. A few years ago I was looking at the questionnaires from Gallup Polls of the early 1950s, and saw one with a question that went something like "Suppose that all laws were repealed for one day--what would you do?" The sad part--the words "not punched" were written across the question. That means the answers weren't recorded in the data set (which at that time involved punching holes in cards), and are lost forever.
Why didn't they record them? One possibility is that it would have been extra work. The interviewer wrote down the answers that people gave to questions like this. Someone had to read those answers and classify them into a number of categories. Maybe they punched the answers to the multiple-choice questions first, then turned the questionnaires over to the people who classified the answers, and didn't bother to send it back to punch that question. Or maybe the answers were so shocking that they decided that decency and good taste demanded be suppressed. On the other hand, maybe the answers were so dull that they decided it was wasn't worth bothering. We'll never know.