Maybe not the worst, but certainly one I remember vividly... One year, my mom surprised me with the second-gen iPod I'd been wanting for my birthday: the pearly white one with the round scroll area, before touch-sensitivity was nearly as common. It was the first music player I ever had, and I savored every minute of opening the packaging-- this was an Apple product, after all, and they're nothing if not aesthetically pleasing, even back then. I finally had it open and ran downstairs to the family computer to install iTunes and get it working, only to find we didn't have the right (Firewire) port. Not one to be deterred, I ordered one online and installed it myself. At long last, I plugged in my shiny new iPod... only to discover our version of Windows was too outdated to be compatible with the device. After all that, we had to return it.
(Upside: Many years later, Mom got me a first-gen iPod touch completely out of the blue -- which I still use to this day.)