Best one I heard was a story told by my brother... he was travelling back from London to Purley, fell asleep and woke just as the train pulled into Coulsdon South, which is only a few miles further on, so he quickly leapt off... only to watch the train depart heading north towards Purley... he had slept all the way to the train's destination, and it was now returning, if he had stayed on he would have got straight to his destination, and now he had to walk...
And I once, a long time ago, fell asleep in Switzerland on an overnight international train, but my carriage got detached and shunted into a siding (well I couldn't read the sign that said the train split en route). Anyway got woken by a cleaner, and they sent a shunting loco out to pick me up and deposit me back on the platform... that was fun, riding on the open front platform of the shunter across some swiss station throat in the middle of the night...