Probably Buffalo.
NHL: Never won a Stanley cup.
NFL: Never won a Superbowl. Sure, they were good for 4 consecutive years. And, they *should* have won a superbowl, but Levy was a horrible coach compared to Parcells when the Bills played the Giants. The Bills had 9 pro-bowlers on that team, vs. 3 for the Giants. Statistically, the Bills should have crushed the Giants. Heck, for 4 years in a row, the Bills were the team most loaded with talent in the NFL. Mickey Mouse could have coached them into the Superbowl. A good coach would have won.
Then NBA: Buffalo Braves. Sucked. New owner & team moved to Cali.