It has happened to me. I purchased a game and the multiplayer was completely broken/bugged. Like most people, I thought Steam would refund me without much of a hassle. Turns out steam has a very strict NO REFUND policy. This came as a shock to me after hearing so many good stories about Steam. Note that this was a well documented bug in the steam forums for this game.

I used to feel very safe purchasing from steam, now I don't think it's very safe to purchase any sort of indie game.