The one component that you wish you had not bought

Miltek Aurora cartridge. Warm and woody. No detail.
Solid silver cables from a great guy. They just weren't as good as cheap 14 gauge mains wire.
CV4004 tubes. Dull as bedamned.

TARA Labs preamp w/phono
PS Audio Powersonic

soundlabs. good speakers for certain music, but not all. And I like Motorhead. 

The Bryston 4BST amplifier. I would hear a 60hz hum all the time. When turning on the unit the clipping lights are suppose to turn red for a few seconds then go to green. My one channel would stay red  after a minute or so it would flicker awhile and then turn to green. I shipped it back to Bryston and they said the solder being used had too much lead in it. Got it back with the same problem. How good is a twenty year warranty when they can't repair their product.

+1 to the CV4004s.
Benz lukachek phono stage.  Dull as dishwater in my rig.