Chicago, IL & Peshtigo, WI, 1871. (fires)
Johnstown, PA, 1889. (flood)
Galveston, TX, 1900. (hurricane)
San Francisco, CA, 1906. (earthquake)
United States, 1918. (influenza)
Florida & Alabama, 1926. (hurricane)
Mississippi River Basin, 1927. (flood)
Great Plains, 1932-1938. (drought)
Eastern U.S., 1974. (tornadoes)
Washington State, 1980. (volcano)
Loma Prieta, CA, 1989. (earthquake)
Florida & Louisiana, 1992. (hurricane)
Mississippi River Basin, 1993. (flood)
Most immediate source for many of these, and for more information: Disasters in the United States, 1650-2001.
That list doesn't necessarily consider the widest swaths of destruction (in which case various wildfires would be there, but forest isn't expensive/insured), the strongest storms/earthquakes/etc. (1964, Alaska and the resulting west coast tsunami, followed by 1811-1812, New Madrid, MO--neither of which hit a highly-populated area--as well as several blizzards, hurricanes that never made landfall or weakened before landfall), just primarily expensive damage totals, high death counts, or high percentages of damage or deaths-- the usual measures by which "worst" is usually measured in this area.
Note that, only considering hurricanes, Katrina has to top 8 thousand dead (Galveston) to be the worst killer among hurricanes to hit the U.S. or $84 billion (Florida & Alabama, 1926) to be the (adjusted) costliest hurricane to hit the U.S. ($38+ billion to beat Andrew, the second costliest, though that bar is a bit higher if you add 13 years of inflation to Andrew's total). Katrina may eventually be recorded as having done either or both of those, but it most certainly isn't known to have done so yet.
And if you broaden the scope out to the entire world, there's Krakatoa, the Indian Ocean tsunami, Hurricane Mitch, the Bhola cyclone that hit East Pakistan, several Japanese cyclones & tsunami, flooding of the Yellow River, and many, many more. Death totals in the vicinity or in excess of 1 million (two Yellow River floods in the last 130 years) and damage totals of more than $100 billion (Kobe earthquake) are nothing to sniff at.
By all means, this is a major event, worthy of lots of wailing and gnashing of teeth, so let's all go on about the economic toll, the human toll, the psychological toll, the failures, and the successes, but until there are some actual facts and statistics available to back up these sorts of claims and comparisons, lets try to keep some perspective out there.