I only have three candidates for this, and none of them were particularly heartbreaking.
a) a set of vibrating anal beads from Doc Johnson, for which I paid a whopping ten bucks, and ended up in the trash heap. However, I kept the controller, took it apart, and used it as a dimmer on a lamp, so all was not lost.
b) the Water Dancer, which a dishonest Amazon seller sent me when I tried to get a great deal on the Vibratex Rosebud. While it was a disappointing and frustrating shopping experience, and the toy was crap, I was never hyped for the crappy toy, so I'm not sure it qualifies. The Rosebud, which I ordered a second time, this time on EF, is an awesome toy.
c) the Cal Exotics Mini Oscillator, which I knew was problematic before I even ordered it, but which I tried anyway. I was expecting a challenge, so I can't say it was exactly a disappointment, but I did find a way to make it work, and if nothing else, it is unique.
So, basically, I've never been excited over a specific toy, received it, and had it fail. It takes a combination of having a good sense of what specific shapes feel like, the willingness to spend for quality (or the unwillingness to risk having to store junk, maybe), and a bit of patience to always give a new toy a fair shake by trying it in different ways.