I found an interesting unhelpful error when trying to use sklearn.datasets.fetch_kddcup99. I was downloading the data when my system crashed. After I rebooted and reran the code, I got the following error:

Traceback (most recent call last):
  File "/home/rylan/Documents/FieteLab-RCRP/rcrp/lib/python3.6/site-packages/sklearn/datasets/_kddcup99.py", line 351, in _fetch_brute_kddcup99
    X, y
UnboundLocalError: local variable 'X' referenced before assignment

This was unhelpful in identifying the true cause of the error (that the download wasn't completed correctly). Following this StackOverflow post (https://stackoverflow.com/questions/59192681/how-can-i-load-sklearn-data-in-jupyter-python-3), I'd recommend adding a check to the correctness of the dataset and raising an error if the dataset is corrupted.