Skullman made a good point that matches your favourite player lost before you start watching snooker don't affect you that much. So I'll list the matches that really got to me during my time watching snooker chronologically.
2007 Grand Prix final 6-9 Marco Fu:
This may seem an unlikely mentioning but at the time I was very upset. All the pundits started counting the days since his last ranking win (even though he won the Masters that year, they made a big deal out of it) and I really thought Ronnie had this in the bag, especially after Fu only scrapped through against Greene in the semi finals. But Fu played superbly and shocked Ronnie and his fans.
2008 Welsh Open final 8-9 Mark Selby:
That match was the start of the Ronnie - Selby rivalry. Ronnie threw that match away it has to be said, he had more than enough chances to clinch it and started to lose his patience. I didn't took that defeat very well because he really shouldn't have lost this one.
2009 World Championship second round 11-13 Mark Allen:
The defeat itself wasn't that terrible but it meant that Ronnie was no longer World Champion. It took a while to get over this one.
2009 Grand Prix second round 4-5 John Higgins:
Not many would list this match but I do because it was the start of the deteriorating of pre-Peters Ronnie O'Sullivan. Ronnie missed a sitter to win 5-3, I was so mad because Ronnie really threw it away.
2009 UK Championship semi finals 8-9 John Higgins:
This was a big one. It really was a hammer blow. I badly wanted Ronnie to win but he had a terrible start and was 4-1, 6-2 and 8-2 down. The fightback he made was unreal. 6 frames in a row and Higgins looked gone. Ronnie had the first chance in the decider but he missed. Higgins made one of the best clearances I have ever seen under pressure and closed it out in one visit. I was completely crushed. All that effort for nothing.
2010 Masters final 9-10 Mark Selby:
Probably the worst of them all. After that UK disaster the Masters win could have made things right again. But of course everything went from bad to worse. 9-6 and it look over but Selby started producing superb snooker. Ronnie only had one chance really. In the 18th frame he needed to clear the colours, potted the yellow but couldn't get position on the green. I think I will never forget the next shot, Ronnie tried to cut the green in from an impossible angle and left it. It was the end as he didn't get a chance in the decider. It was absolutely devastating.
2010 World Championship quarter final 11-13 Mark Selby:
Not as bad as the previous two but still it was bad. It felt like the final nail in the coffin and it really was for the pre-Peters Ronnie. Again he lost a lead from well in front against Selby, he crumbled under the pressure in the last session. It was terrible to watch.
2011 Welsh Open first round 2-4 Ryan Day:
It was obviously not that bad, but it sums up Ronnie's 2010/11 season perfectly. An uninspired, helpless performance from Ronnie. He was gone at that time. He talked about pulling out of the World Championships but thankfully he didn't. That defeat was probably his all time career low before he turned it all around (the win in the first PTC of the new season with 8 centuries was the first sign of recovery).
2011 UK Championship second round 5-6 Judd Trump:
Why is this in here? Because everybody started talking about Trump taking over from Ronnie. It was a big match because it was the first time they play in a big event since Trump broke through. Ronnie played well and could have won but he missed vital long pots under pressure and Judd won 6-5. It wasn't a nice feeling seeing that happen.
2014 World Championship final 14-18 Mark Selby:
Painful but nowhere near as bad as the 2010 Masters. This time it wasn't because he squandered his lead or lost to Selby but because he missed a chance to catch Steve Davis. However all the wins he had that season made this defeat quite bearable.
So that's all. I think it's important for Ronnie fans to remember the dark times just as they remember the highlights and great wins. They are all part of Ronnie's great career and looking back makes me even happier how things are in the present