Does it have to be music?
Well, I once bought eyeshadow from someone and when it was sent to me, it was all dried up. It was the cream kind. And unfortunately, they didn't offer refunds.
I have also bought clothing that was too big or looked different on the site model than in real life, so that upset me. I feel like it is a waste of money sometimes.
edit:// oops!
Just realized this is in the music subforum. Hmmm, I don't buy music online but I had a friend who ordered a Taylor Swift CD, and when she got it in the mail the case was scratched and the Cd broke in two in her hand. ><