Well, here's the oppisite end of the spectrum, the only time I've seen someone stop playing because of the dice. Throughout the first hour of the adventure, he rolled 7 out of 9 natural 1's. For attacks, saving throws, and skill checks: it didn't matter. He switched dice: didn't matter. He was about to give up then, but I told him we were getting itno a role playing section, no dice rolls. THat was for the next 2 hours. So, we got the rythem back into the game and he was enjoying it till combat started. Nat one and iniative, nat one one both of his attacks. I still convinced him to keep playing after that. I let him borrow a new set of dice I had just bought and no one had used. They had to make some swimming checks and 3 more nat ones. The rest of the party saved him so he didn't drown. At that point he got up and apologized but he couldn't keep playing with that string of bad luck. He went into the other room and started killing things on Red Alert 2.
Another story, not quite as bad a different person was having bad luck. Just missing DCs by a point or two. He warned his dice the next to fail was going for a swim (at the time I lived by a pond). Sure enough the next roll failed, he went on the back porch and tossed it in the water. The rest of the dice worked fine after that. However, after that night those dice all disappeared. He has no idea were they went. We figured they ran away for their own safety.