Ive got a great one. My friend had just gotten L4d, and I was playing it with him as I usually did. We were playing Death Toll, and we came to the part where the bridge is cut. He says, "Let's go around," and I say, "No way! I can make it!". The very instant I say that, I fall to my death. We laughed for hours.
Also in L4D2, We were playing the last campaign, I forget what it's called, and we were running across the bridge. I die. Rochell dies.He makes it to the helicopter. The tank runs into the helicopter and incaps him. I shoot the tank to death with my final, incapped breath. Ellis runs into the helicopter, in green health and not even scarred. He doesn't get a chance to heal my friend, and it says everyone but Ellis died. We made up this story about how Ellis just kind of stood their watching him bleed to death for hours. It was hilarious.
And then, the ever infamous, "I'll Save You", which occurred multiple times in both games. A Hunter jumps on person A, and Person B has an opportunity to shoot it off. Person B instead throws a molotov cocktail, whilst screaming, "DON'T WORRY, I'LL SAVE YOU!". It's hilarious.