Not too often, but then I don't buy things that often.
The things that are coming to mind:
a jumper that has slightly too short sleeves (it has nice embroidery around the collar and looks good, but in practice I can only wear it when I've got the sleeves pushed up to the elbow, because that extra uncovered space by my wrist really annoys me) didn't realise at first when I bought it and that was in another country, so couldn't exchange it later. I had a similar situation re: sleeves with another jumper I bought here, but that I could exchange and it was fine. Solution would be to try always one size up in case it fit better, though with things riding up it's not always apparent.
a short sleeve jumper with some floral embroidery. Overall too 'feminine' for my overall look and taste, and too pale. I got it because I had another short sleeve jumper (plain and in a brighter colour) I was very pleased with. I also bought it when I was staying at a relative's who has spent time of every visit for years criticising the way I dress, and while I'm happy with how I dress and certainly not going to change it for her, this was a borderline choice that must have been affected subconsciously.
I got a top off ebay that I'm still not sure on and may have been a bad purchase. I thought the design looked funky, but I'm not so sure on the material in practice and the collar is a bit low. Worn it once so far, not sure whether it will be a mediocre purchase or a bad one.
A polo I got with the intention of swapping its collar to the top above, but at the alterations tailor they ended up telling me this wasn't possible.
One that I realised in good time and was returnable: I got two short sleeved plain casual tshirts from superdry, but wearing them for longer than just to try it on in the shop made me realise they were uncomfortable around my shoulders. Returned.