Our incoming ftp server at work once got a file named "C:\something_or_other.zip". Which was perfectly fine, until someone tried to open it in Windows using the samba share. It actually did show up, but with a completely garbled name.
I also accidentally generated a file where the name had a leading '\r' (carriage return). That was a lot of fun to track down and fix, it looked perfectly normal in 'ls' unless you noticed that it wasn't in proper alphabetical order and the rest of the row was one character out of alignment.