One would also have to consider the "alignment of the stars" kinds of situations, when a great many low probability events line up or an event occurs that exposes other dependent events. That has more to do with interactions amongst behaviors than a truly remote "unknown unknown". The Madoff Ponzi scheme is a case in point; last year's crash exposed this whole situation, so no one can really isolate that as a Black Swan event either. If it would have happened during good times, the world economy would have swallowed that up as a blip. People knew about the shadow banking system, so the fact that it finally got exposed to a great number of people through the financial crisis (chicken or egg, I know) so I agree that it is perhaps a stretch to consider that a Black Swan. Lots of people pointed out that it would turn out chaotic and would lead to wild swings into fat tail territory.

But then again, it shows the basic futility of trying to predict processes that rely on human psychology, such as financial markets.

Far from being a Black Swan, that's easily explained by human nature. Our greed and hubris make us susceptible to financial bubbles and various other get rich quick schemes. Without regulation and enforcement to keep us in check, financial markets will default to bubbles and crashes.