I think one of the most annoying things to shop for online is clothing. I usually wear XL size shirts, but that's just a general size, and I've had times where one retailer's idea of an XL shirt is different from another's. Pants are also a pain, but if you at least know the waistline and the length, you're generally ok.

But yeah, electronics that don't work that came with a mind-numbing amount of Styrofoam puzzle pieces to try and figure out how it was packed in the first place is a headache when it comes to returns.