Sachin Tendulkar somehow contrived to go out on 99 in an ODIs three times in the space of five months in 2007 (including, as I recall, being run out going for triple figures against South Africa in what would become a major Slumdog Millionaire plot point).
But one of my favourite cricket trivia stats is that Shane Warne's highest Test batting score was 99 (he was caught on the boundary trying to heave his way to a century). That's tragic, but nowhere near as tragic as Martin Crowe's top score of 299. Crowe (who's Oscar winner Russell Crowe's cousin) was caught behind going for his triple-ton – and commented afterwards that, "It's a bit like climbing Everest and pulling a hamstring in the last stride."
I suppose, though, that the only thing worse that going out for 99 is ending a match on 99 not out. That's happened less often in Tests and ODIs, but (as always) there are some stories attached – usually of batsmen who reach 99* by scoring the winning run, or of batsmen who run out of batting partners.
In 1932 Don Bradman was stranded on a massive 299* when Pud Thurlow (back in the 30s cricketers chose their names from Pynchon and Dickens novels) got himself run out, thereby ending the innings... much to Bradman's bemusement.