There are so many that it's really hard to choose, but I think this may be my favorite nonsensical dialog in Lotus Notes, our enterprise mail system of choice:
Good luck. You're gonna need it.
I've given up criticizing Lotus Notes. There's no point. It's like making fun of the mentally retarded*.
This nVidia driver dialog, on the other hand, has a great idea:
I hate the way disabled controls give you no feedback as to why they are disabled. Why can't you click on that greyed out menu? Why is that button greyed out? Who knows. You just can't. You have to suss out the meaning behind the modality by randomly clicking on stuff to see what enables and disables. Ugh.
* In case you were wondering: no, things haven't gotten any better since 1999.