Claude Makelele:

The Arsenal boss signed an unknown Patrick Vieira instead of Makelele, a 23-year-old midfielder who had just won Ligue Un with Nantes.
“Claude Makelele was close to signing for us,” Wenger told The Independent in 2006. “I missed a few,” he added.
Well, Wenger would not be too disappointed on this as Vieira became one of the finest player in the Premier League during his stay at Arsenal.