I like the ones where we think someone is the unsub but then they end up either being a victim, or knowing the unsub.

The show itself has a house term for this sort of red herring: the UnSchmuck.

(A frequent message of this show is that weirdness--or even downright creepiness--does not equal guilt; recall the Goth kid whose upstanding paramedic father turned out to be the instigator of the Choking Game, or how the coven of Satanist headbangers were the only kids who didn't know about the corpse in the woods. Criminal Minds has also shown a creditable track record of doing its homework on the Subculture-of-the-Week.)