I've come close - an emergency trip to London to collect it with my passport from the Ugandan High Commission the day before I flew to Uganda. The predicitability of being able to get a visa on arrival was considered low (in the event, of course I could have done!). My company mail room had messed up the postage on the return envelope, and so the HC had refused to post it back to me. At least I knew I wouldn't be getting it back, and was able to speak to someone at the HC to arrange to collect it...