Not exactly a horror story, but I still think it can go here. So me and my friend were playing a one-shot with him as the DM, we had just broken out of a prison cell we woke up in with no memories of the night before, we were crossing a bridge on our way back to town when we were attacked by a troll, we managed to kill it by throwing it into the water, and I had the idea that we should find it's lair, so we found a cave under the bridge were the water was frozen over, and it reeked in there after two con saves, one of which the DMPC failed we got to a room that appeared to be full of treasure, I spent a minute gushing about it as it was my first time playing, then I touched it and the illusion faded, it was all troll shit, no loot, no gold, just troll shit, I was angry at first, but him and I ended up having a good laugh about it, and we still talk about it to this day. The session ended with us killing a small dragon at level 3.