My first (half-assed) attempt at cosplay was Moonbay from Zoids: Chaotic Century. She wears some sort of face paint, and my grandfather saw it and asked if we had an Indian in the family.
Another time, I was showing my kimono to my aunt, and my uncle walked in and asked the classic "Is it Halloween?" question.
I apologize if anyone was offended by my relatives'...less-than-politically-correct comments.
Franziska von Karma (Ace Attorney series- older and younger versions)
Lyn (Fire Emblem/Super Smash Bros. Brawl)
Raine Sage (Tales of Symphonia)
Grell Sutcliff (Kuroshitsuji, butler outfit)
Rose Bride Utena (Revolutionary Girl Utena, need new wig)
Twilight Sparkle's Gala Dress (My Little Pony: FiM)