The 1-0 Good Friday defeat at Millwall will be one of them.
Playing with 10 men following Richard Wood's straight red card before the hour, they trailed to Jed Wallace's impressive strike going into the final 10 minutes.
Then with five minutes remaining, their golden chance to claw some points back on Birmingham and Coventry came when Michael Smith was felled in the area by Jake Cooper.
Referee John Brooks had already declined to award two earlier penalties for the Millers but this time he pointed to the spot.
Despite missing his last kick against Watford just two games ago, Smith again stepped up, but he suffered more disappointment as Bartosz Bialkowski produced a stunning save to keep the spot-kick out.
Smith learned the hard way how football can quickly come back to bite you, having scored his 100th career goal in his last match, he was now the villain.
Just how costly that miss will be probably won't be known until the end of the season, but the chance to put a point on the board ahead of Monday's gigantic clash with Wycombe was too good to pass.
Bialkowski has previous for playing well against the Millers and he produced a fine stop to deny Wood just before half-time.
Brooks had already waved away two penalty appeals on Freddie Ladapo by the time the referee chose to dismiss Wood for a professional foul on Wallace.
Wallace made the Millers pay further in the 64th minute when he fired home an exquisite volley from a corner, finding the only place in Viktor Johansson's net that was unguarded.
But Rotherham and Smith will have nightmares about the chance that went begging late on as the striker missed from the spot, leaving the Millers with 11 more games to seal their destiny.