This is really a great question and I have been thinking about what the hand would be. I would say the hand that has cost me a lot would be poker Kings over the years.
Why Kings? It's one of the hardest hands to play in my opinion. Kings can be a trap hand in my opinion. Let's say we are early in a tournament. We raise and get 3 bet, we are happy to get int in but if we 4 bet and get 5 bey or worse Jamed on what is the right play? While we could be way ahead of them, we could also being deep trouble as well. We all have seen it happen and they have pocket aces. If their supper deep, what hands could they have? Aces Queens maybe Ak? The problem is preflop we really can't fold this hand without one hell of a read but there is also a really good chance we are in deep trouble as well.
Then there is the flop. SO we call or just get called. An Ace comes out about 22% of the time. So, let's say we trapped with kings. They c-bet, we can't just fold can we. Yes, they may have an ace, but they could have QQ or some other hand we are beating. Now let's say they called us. Many times, we c-bet and they fold but what if they call? Do they have the ace or a draw or what?
So why did I pick Kings? I think I have lost more with them than any other hand for the reasons above. While other hands are weaker, they are also easier to fold. Take pocket Jacks to 8's for example. You could have 2 or more cards over your hand. When people are 4 and 5 betting their hands, we can easily fold them pre flop if we believe they are behind and with so many more bad flops we are less likely to call down 3 streets of bets or betting all 3 streets.
Just my thoughts anyways.