I recently came across a heisenbug: a software bug which disappeared or changed its nature when I added debug output into the program. The Wikipedia article explains other interesting types of bugs as well, such as a schroedinbug, bohrbug and phase of the Moon bug. Phase of the Moon bug links to another article, Time formatting and storage bugs. This article unfortunaly omits the favorite example of many: the Ubuntu bug #248619 where OpenOffice.org would not print on Tuesdays!? Matt Zimmerman writes that it's a great example of the aforementioned concept of bohrbug.
Related to bugs, the Global Nerdy blog recently compiled a list of New Programming Jargon. The list contains such gems as hindenbug ("A catastrophic data-destroying bug. Oh, the humanity!") and Loch Ness Monster Bug ("A bug that isn’t reproducible and has been sighted by only one person."). :)