Travelling to the Soviet Union in 1988, my first time out of the U.S., I had my Soviet visa stolen/lost/etc in London. The tour group leader decided we'd go on anyways, since BA only flew LHR-LED once a week at that point on Sunday mornings. Embassy was closed, so we decided to chance it.

Landed in LED, and I tried to explain in my high school Russian to the immigration guy what happened. Along with the group leader (although they were reluctant to let him come with) I was taken in a back room for almost 2 hours and questioned. Scary experience for a high school kid. In the end, they issued a new visa on the spot and I was allowed in.

Was amazing to see a bit of Glasnost first hand. ^