Quick sitrep:
Our group is playing a two part story, trying to save the soul of somebody that has made a contract with an Infernal Duke.
In a previous adventure the party had found a tome that detailed the infernal hierarchy at the expense of imbuing evil into the reader's heart. The first part of the current story had the party collect ingredients for a potion that would allow them to read the book safely for a day. In the book they found the rituals for enchant, last command, and guardian (all from Secrets of the Supernatural), and a new ritual that would allow the group to call forth a representation of a powerful being between worlds to communicate with it.
So after reading the book, the party has decided that they don't want to deal with the devil, but instead want to attempt to kill/destroy/trap him. Party consists of a L4 Warlock, L5 Illusionist, and a L5 Summoner. I have repeatedly impressed upon the group that this Infernal Duke is level 11 and while in his personal hell is a god and will be immune to your attempts at summoning him (not including the fact that I don't think that the summoner could roll high enough to get a L11 to come forth anyway).
Yes I know my job as the GM is that everybody has fun and does not feel as though the group's time is not wasted. I have repeatedly said that I believe that your current course of action could lead to failure and that you are not at the power level that you need to be to pull off what you are trying. The retort from the players was that, "well this is something amazing and it should work".
So coming back around to my question, game masters and world spinners do you ever have stories where your players do not achieve the goals that were first put forth and at times do your players absolutely fail? I know that this is a game of dark fantasy where there are powers that could consume the players' minds and souls in a blink of an eye.