Although Swindon's technically true, in the context of the tie, we didn't get a draw so I don't think it should count.
To try to move things in a more downbeat direction, how many times have we thrown away a three goal lead? I can think of the Brighton match where we came back to win, and also didn't we throw a 3-0 lead away against possibly Ipswich in 2003 before getting a winner for 4-3.
The most famous occasion I can recall is the 3-3 draw with Reading at the Lane on 11/10/86. 3-0 up on the hour. By 65 mins it was 3-3 with their equalising goal being an OG from Jeff Eckhardt.
Other than that, I can't think of any other occasions when we have been 3-0 up and not won. Silent Blade ?