Worst Allied loss of the war is probably Fall Gelb, or Barbarossa on the Eastern front. Dieppe, in terms of casualties, and strategic impact, is really a very minor setback in the wider picture. A tragedy for sure, but not a point where the outcome of the war hung in the balance.
Agree with Bomb Taxi on this one. Dieppe was not critical to anything but the planning for Overlord. Learned what not to do (important part of learning what TO DO). Very helpful in that realm.
Worst loss has to be on the Eastern Front in terms of total losses. Almost anything in the first 6 months of the war resulted in stupendous losses to the Soviets. Only Russia could absorb such losses and keep going.
In terms of affecting the course of the war, strategically, that is harder:
Crete, mentioned already, is a good one (Lost the island and lost the advantage in Africa),
Singapore, not so much, that place was gonna fall no matter what happened.
Battle of France is a good one. Fight the Germans to a standstill in 1940 and the whole war is different.
Dessert war is more about logistics than anything else. Longer the lines of supply, the harder it is to get enough combat power to keep the advances going.
I guess I'd go with the Battle of France. Loss of France and the evacuation of forces from the Continent gave Germany the leisure to expand the war as she wanted and removed a major threat in France.