I've come real close twice.
Once a line drive right over my head, I think I could have jumped and got it but I just didn't react fast enough.
Second time was the closest, it was a pop-up that came down into the row and seat in front of me, I reached out and the ball just barely grazed the very end of my fingertips, right as the guy in front of my went up. I wouldn't say he intercepted it, but it was really close.
Then one time I was in the bleachers and Frank Thomas drilled one right into an empty seat a section over and it bounced over my head, there's an outside chance I could of got it if I dove into a bunch of people.