I've read this thread several times trying to think of who I would deem to the unluckiest. For the following reasons, I'd say Bobby Bacala was the unluckiest guy on the show.

Did Bobby have it bad all the time? Absolutely not. But we first meet Bobby in Season 2 after Tony meets with Junior in prison. Tony orders Junior to have Bobby come out from hiding after Tony wiped out nearly all of Junior's important crew, namely Chucky & Mikey. After getting demeaned by Tony at the meeting, Bobby states that he "inherited" Junior and giving the impression that he was never happy about it.

Then for the next few years, Bobby is essentially nothing more than Junior's caretaker. Not the worst thing in the world, but certainly not a position where could move up and be a good earner.

In Season 3, things really start to go downhill for Bobby when his wife Karen is killed in a car accident and then he loses his father. Bobby is overwhelmed with grief at the loss of Karen. And to me, his life gets even worse when he starts a relationship with Janice.

Throughout the series, Bobby is repeatedly mocked and belittled by Tony. Their relationship reached a decent level by Season 6, but then Bobby is shot dead near the end.