I can honestly say it has never happened to me and I have been at this high-end business for about 15 years or so. The key thing is don't buy impulsively. There really isn't much reason for getting burned in this day and age. You have access to a great amount of information, especially on a forum like this. If you read and listen carefully, you will develop a feel for the characteristics of products that appeal to your own tastes and your knowledge will grow. So far as cables and tweaks go, make sure you can send them back if they don't work well in your system.
