By purchasing heroin/cocaine you are virtually guaranteed to be financially supporting a narco-terrorist group.
Either directly or indirectly (degrees of separation), many simple acts of commerce fund things most would find abhorrent.
Diamonds are most definitely on that list still - despite all the noise and promises made; I am fairly certain so-called "blood diamonds" are still a part of the trade.
Gasoline (more concretely, oil) is another.
It wouldn't surprise me to find out that various renewables have their own problems in a similar vein...
You can probably think of others.
There is also the coffee industry, which at least has the fair trade program, that helps the small farmers get the money they deserve instead of being pressured to lower prices by the distributors.