Well, that happened to me at least once on Linux, ten years or so ago. I don't remember if it goes backwards up the tree or just one level (I think it's the latter), or if the current 'rm' protects against this or not.

Imagine you place yourself in '/tmp' to throw away all those pesky '.' directories and files that applications leave there. You run that command, it matches '..' and your whole system is gone (btw, 'rm -rf .??*' avoids this).