I'll throw in another candidate for greatest disappointment: Nurburgring '99 - Frentzen grinding to a halt after exiting the pits while leading comfortably from Pole. I wanted Jordan to win that championship so badly, that it was painful to see him stutter to a halt that day. He would probably have been level with Irvine & Hakkinen on points leaving that weekend, had he won, but the DNF effectively ended his chances of challenging in the last 2 races.
Other than that, Montoya - definitely! He should really have made the most of that monster BMW Williams when he had it, and I never understood why he went to McLaren. I guess he was more interested in towing his entourage about by then though...