The one component that you wish you had not bought

A pair of B&W 685 speakers. The always receive rave reviews and I even listened them in two sessions before buying, but made a mistake of carrying with me my prefered music which is mainly jazz trios (bass, piano, drums).
These are devil angel speakers. Great bass and highs, slightly forward. It can raise your hairs on some pieces while other will sound totally disgusting with wrong timbre of acoustic instruments. The mids are coloured and vocals and speech sound honky. They made me not like to listen to haf of my music collection. Coloured speakers...

Focal Micro Utopia Be.  But for a very different reason.  Because it was like a stake through the heart when I was forced to sell them several years ago.  I hope to get them back someday before I shuffle off this mortal coil.

Linn LP12 with Radikal power supply. The LP12 majik sounded better and was a fifth of the price. 

YMMV, but a pair of Focal monitors. Hooked them up, listened for a few minutes, unhooked them and listed them for sale. Much to dry and colorless for my taste.

But it wasn't money wasted; rather, it helped solidify my tonal tastes!

I bought a First Watt F7, and for my system it was a complete waste of time and money.

It didn't mesh well with my system. No top end, no air, no life.

There was a mismatch somewhere.