My Oh SHIT, RUN! moment would be in FE 7 (since a good deal of them were already mentioned). I can't remember what the chapter's called, but it's the fog of war map you get if all your lords' levels combine to less than fifty and Wallace is the recruitable unit that spawns in the middle of nowhere. Lloyd (I always get the brother's names mixed, but it's the Swordmaster as the boss on this level, NOT the Hero) is the boss. I can't remember if this was on Eliwood's hard mode or Hector's normal mode, but I was on this map to get Wallace for support-collecting.
Anyhoo, it's a fog of war map and I was dicking around with unit placement because I didn't really handle it on the prep screen. It was a few turns in and I was readying a team to go fetch Wallace when the boss pops out of the fog on the enemy's turn and crit/slaughtered one of my units.
I shat myself:
A) When your motive on the map's to capture a gate/castle/throne or kill the boss, bosses really tend to stay in their gate/castle/throne or reside on the far end of the map unless enough time passes for them to get bored, summon an entourage, and hunt your ass down. I was the epitome of "UNPREPARED" at this moment.
B) If Lords (main characters, pretty much) are killed in Fire Emblem, it's game over. I was actually shocked that Lloyd didn't go after Hector when he totally could have.
C) When units are killed in Fire Emblem, they stay dead, and there's no way of reviving them. They are gone forever. Unless they're Marcus. God, I hate Marcus.
D) Lloyd actually stays put at his gate all the other times I had played through this level, so I'm thinking that it had to have been on Eliwood's normal mode, maybe.
E) Lloyd is a Swordmaster, and these units are built to be crit-machines, and high-luck units you might have at the time aren't built to take hits very well. And I think Lloyd is actually more difficult later on if you fight his brother Linus first.
After I lost that cavalier-- I think it was Lowen, so I could have lived without having to restart the chapter-- I had pretty much panicked to get all my units out of his range, or at least so his tamer ranged attack (the boss here has a magic sword that allows him to attack from range, and ranged attacks from this weapon do not crit) would hit people.
TL;DR: http://pbfcomics.com/?cid=PBF080-Mice_Gun.jpg sums it up nicely.