As far as defects/packaging are concerned, it would have to be Grenadier. It contained a DVD case and cover for disc 3, but no disc 3. Unfortunately I didn't open it for several weeks after receiving it (I'd already seen the Lunar release), so I couldn't have returned it. Oh well, I can always just DL the last 4 episodes of a dual-audio release guilt-free.
As for bad experiences with the actual content, I'd have to say Earth Girl Arjuna, which I blind-bought. Very pretty series with great music and visuals, but it devolved into preachy nonsensical enviro-propaganda by the end. Oh well, it was only $30 or so.
EDIT: And then there was the ROD TV Vol.1 + Box, which I bought thinking it was the complete collection. Wound up being the most expensive 26-episode series I ever collected. But that was my own damn fault.