Never. I do most of my shopping through Amazon (unfortunately), and I have had nothing but great experiences. I just checked my account – I made 94 purchases in 2017 through Amazon. My wife does most of her shopping online as well.
Additionally, I have Amazon Prime, so I get 2-day shipping for everything (sometimes less), and the option to do one-day shipping for $3.99 (I have had to do a couple of times). I also get about $50/month in Amazon credit because my credit card is Amazon, and I use it for all purchases (groceries, bills, etc).
Returns have always been painless. And in some cases, they’ll just refund my purchase and tell me to keep the product.