I'd have to say the St. Louis Blues. Even when they've topped the entire league in the regular season...they always find a way to not even make it into the Stanley Cup finals...let alone win it. Lol
They're so good at year after year having a great show, build up some hope...to have it dashed away.
I still remember from when I was young...the Blues had the best record in hockey, and then got swept in the first round by the San Jose Sharks who were in the playoffs for their first time ever!