The year 2008 may have been the worst calendar year in the entire history of the US stock market.
An investment in the S&P 500 lost 37% last year on a total return basis. Although 1931 looks worse on paper (a drop of 43%), that was also a year in which the consumer price level declined significantly, and since we have to buy goods and services at the prices being charged, calculations of return should be adjusted for inflation (or deflation, when it occurs).
By that measure, both 1931 and 2008 resulted in 37% losses in wealth, and whether one or the other was slightly worse is debatable, since calculations of inflation are neither precise nor the same for each person (since we all buy different things with our money). Let's just say it's a tie.
[Less Antman via velcher via chucks_angels]