I think the only time I've ever felt cheated by a gig was when I saw Ungkas play. (As far as I know, they were a local band that never made a name for themselves.) Well, the gig itself was quite good, and they ended with a song played entirely on drums. As in, the drummer was going nuts, and the other guys in the band had a few drums to bash around on too. At that point, I was just starting to think about learning an instrument, and was leaning towards drums. So that final song was awesome in my mind. So I bought their CD.
The CD did not, in fact, have such a drum track on it. Boo! Hiss! In fact, they were one of the few bands who I think are better live than they are on their properly-mastered albums... So yeah. Felt a bit cheated afterwards.