Some of the big veterans of UT2003/2004 might know what I'm talking about since that bug is also in UT3 but in even worse. It's quite hard to understand just by reading text so I'll do my best by explaining it in steps, to reproduce it.
1- Pick-up a few weapons in a gametype like Deathmatch.
2- Now pull out either the Biogun or Rocket Launcher.
3- Now get close to a weapon pick-up that you ALREADY have but don't walk on it yet.
4- It's easier to do it with the Bio but it works with any gun that require you to hold the mouse button so that's why I also named Rocket Launcher. So now load a full shot of Bio and keep holding the right-mouse button.
5- Still holding it... now press the button to choose the weapon that is on the pick-up in front of you. Let's say it's the shock rifle so you press #4 while still holding ur bio.
6- Now that the weapon in front of you is already pre-selected, walk on the pick-up and it will automaticly switch to that weapon even if you were still holding down the mouse button for ur Bio.
Not only it is very annoying, but if you come back to your Bio or the Rockets that you were loading, well you just lost those ammunitions... if you aren't already dead because you weren't expecting at all such a lame bug to happen in the middle of a match!
Edit: Ok... I knew I wasn't crazy, I openned UT2004 and as I remember from the 3 years I've played on it, we can very easily reproduce that bug with the steps I've written. Maybe I should have said that you need to have either "WeaponStay Off" or else pick up the weapon from someone who died because you can't pick up a second time the gun with "WeaponStay On". I know thought that it happened quite a few time to me in UT3 but now I can't reproduce it at all since I've installed the Beta 1 patch so it looks like even if they didn't write it in the changelog, it have been fixed! That's a good thing.