Not a trade per se, but the move that has annoyed me the most of any move in my lifetime, was Chris Wallace exercising the right to Denver's 1st in 2001 and then taking Kedrick Brown. They could have waited until 2002 or 2003 and gotten a much better player (like say potentially Melo, Bosh, or Wade in 2003).
I know Pitino gets a lot of crap, but a lot of what he did actually worked out. Drafting Pierce, making that trade to get Denver's 1st, trading Travis Knight (who he never should have signed) for Tony Battie, signing Bruce Bowen, trading Fortson and Barros for a future 1st (another wasted Wallace pick i.e. Forte), and generally setting the team up for the playoff runs under O'Brien (who he hired as an assistant).