A word used by adults to children when the adults have no clue where they are.
Angie:"Grandma are we lost?"
Grandma:"No Angie we are just on a wild goose chase."
when you've killed all but one of your enemy's units (in a RTS game) and the last of the enemy's units is roaching around, possibly in your base killing your workers, until your enemy sees that you've sent your entire army at his last unit and consequently runs his last unit around the map, leading your 50 unit army on a wild goose chase for 30 minutes until he abruptly resigns when your army closes in on his unit.
OMG, I thought I won the game, but his last light cavalry was harassing my economy and I had to send my entire army to lead a wild goose chase after that last light cavalry unit for 30 minutes - and then that bastard resigned just when his light cavalry fell into my ambush.