Most expensive audio disappointment?
Finding out you can never be satisfied with the system you put together, regardless how good great or outstanding it actually may be.
In other words the audio treadmill of incessantly buying and trying this and that, then reselling this or that, never comes to a complete stop for you, it just slows down now and then... and you will never get off it.
Now that right there is about as expensive an experience as you may or may not, find.