In 2009, the CDU/FDP coalition got a majority of the seats in the Schleswig-Holstein state parliament despite winning fewer votes than the remaining parties in parliament. This was due to the overhang seats obtained by the CDU and the insufficient number of neutralizing seats given to the other parties.
CDU + FDP = 46.4% and 48 out of 95 seats
SPD/Greens/Left Party/SSW = 48.1% and 47 out of 95 seats
There were two further elections in Schleswig-Holstein where the winner lost:
In 1987, the formation of government ended in deadlock.
The SPD had 36 seats and the SSW (which is not bound to the 5% threshold) 1 seat in the state parliament, tying with the CDU (33 seats) and the FDP (4 seats).
The SSW representative refused to back any CDU candidate due to the "Barschel affair" (the German Watergate scandal). As a result, Interior Minister Henning Schwarz administered the official duties of the minister president till the new elections one year later, where the same SPD candidate, Björn Engholm, won.
In 1992, Engholm stayed minister president without forming a coalition government, even though the other parties represented in the state parliament received more votes in total:
SPD 46,20 45
CDU 33,84 32
DVU 6,27 6
FDP 5,58 5
SSW 1,90 1
That's because the Greens just missed the 5% threshold with 4,97%.