Famously, Herodotus tells of the lost army of Cambyses, who disappeared somewhere in the Egyptian desert:
"The men sent to attack the Ammonians, started from Thebes, having guides with them, and may be clearly traced as far as the city Oasis, which is inhabited by Samians, said to be of the tribe Aeschrionia. The place is distant from Thebes seven days' journey across the sand, and is called in our tongue "the Island of the Blessed." Thus far the army is known to have made its way; but thenceforth nothing is to be heard of them, except what the Ammonians, and those who get their knowledge from them, report. It is certain they neither reached the Ammonians, nor even came back to Egypt. Further than this, the Ammonians relate as follows:- That the Persians set forth from Oasis across the sand, and had reached about half way between that place and themselves when, as they were at their midday meal, a wind arose from the south, strong and deadly, bringing with it vast columns of whirling sand, which entirely covered up the troops and caused them wholly to disappear. Thus, according to the Ammonians, did it fare with this army."
Herodotus, The Histories. Book 3. Translated by George Rawlinson.
Despite many expeditions, attempts to discover the lost army have failed. However, in 2009, a pair of Italian archaelogists claimed to have discovered the remains of a Persian army near Siwa Oasis. However, the Secretary General of the Egyptian Supreme Council of Antiquities, Zahi Hawass, has said the claims are "unfounded and misleading".
Below is a short news story on the discovery.