I liked GTA V screen of Game over, when mission failed in any way.
In GTA IV I liked not exactly the screen of it, but I liked the phone calls after failed mission, that Niko made, when game resumed.
I liked Jak and Daxter Game over screen, but I did not play it, just have seen on Youtube, I just found it funny, what daxter said.
I also liked game over screen from Age of Empires III, when I lost the mission, even though it maybe was not something special.
I liked also Harry Potter I,II, III PS2, when I was caught at night by prefects, or Snape, and even more Harry Potter I by Filch, even though it was scary for me back then.