I've only made one embarrassing mess up on the radio :-) - well I never said i made only one mess up, just only one EMBARRASSING one. It was talking to the military, asking for clearance, on my QXC...
Military: What's your max altitude
Me (thinking, crazily enough, that they meant my ceiling!): 10,000 feet
Military (through laughter): Well you won't be going up THERE!
On another instructional flight we were taxiing onto the runway after a citation had landed - and after it, between us and the citation, a C152 had taken off.
ATC (to us): caution wake turbulence
Neh, it's the first time I ever heard of wake turbulence from a C152...
Citation pilot: Are you calling me FAT?
And more recently, when taking off...
King Air pilot: ...inbound to the field
ATC: ...join right downwind for 25... traffic is XXX rolling on 25
pilot: ...joining right downwind for 25, traffic copied, will try not to hit him!!!