This is not a true DNF because the cache doesn't exist on geocaching.com, but those of you who have done the Rainbow series of virtual caches will know the clues take you to a physical cache at the end.
My brother and I decided to go looking for the physical cache at the end which is (or was at the time) located on a famous heath. We ended up scrabbling around in a large natural bowl full of bushes. Worse, We'd had a couple of beers for lunch and so I was in need of the toilet.
So I found a particularly large bush and proceeded with watering the wild life behind it. In mid flow, I happened to look up at the edge of the bowl and there was a strange man there perfectly motionless watching what my brother and I were doing. Looking around, we noticed there were other strange men hanging around in various parts of the landscape. Some of them were doing.... err, well.... things....
We decided not to hang around long enough to find the cache.