When you have to root against your favorite real life team in order for your fantasy team to do good.
The one above can be a bad one, if you think of it that way... but usually I think of it like this. If I'm going to get burnt by the opposing team's player, I'd rather it be done by a Red Sox player than any other. This is the logic I use when drafting too. Unless its a no brainer, I won't draft Red Sox players. This year I don't have any Red Sox players. Its tortorous enough to see Tek strike out in a key situation... it would be double as torturous if he was on my fantasy team.
Out of the choices we were given, I have to go with the 1st round pick out for year. Maybe, even worse is when your first round pick is doing horrible. At least you can put Derek Lee on the bench, and play another 1st baseman. People who choose Teix in the 1st round are stuck playing Teix every day!