Mandarin dragonets. Had one WC, and then much later, one ORA-bred, and couldn't get either to eat anything but pods (which I could never have enough of)--had to give them away to a friend with huge, pod-filled tanks just to save their lives. And to be honest, I'm not patient enough to cut off all my powerheads for 20 minutes and pipeline food to them two or three times a day.
Not a fish, but hermit crabs. They never did anything for my algae, but they did climb all over my corals, causing them to close up, and kill and eat all my snails. All crabs, period, really...I just don't trust them. Too many of them are either downright predatory at some point, or inclined to at least "sample" other livestock.
Dottybacks, unless I have a very large or specially dedicated aquarium. Beautiful, but even the supposedly peaceful species I've kept (orchid, sunrise) became bullies after a while. And they're near-impossible to catch.
Wild-caught specimens of species that are available captive-bred...I don't think saving a few bucks is worth depleting wild populations.