I've had a few.
One of the more memorable ones was an Applause plush that was sent in a bubble envelope. This would not have been too much a problem, but the envelope was too small, and it popped open in the mail. The pony's butt and midsection was hanging out the back, and it was literally one good shake away from falling out. I got it in the house and it fell right out. It was really lucky that it fell out after it got into my apartment and not before or else I probably would have ended up with an empty envelope. It was pretty funny to see the rear end sticking out the back though.
I had one seller charge me almost $20 for shipping and handling for a "near mint" condition SS Angel with card. What I got was a reused priority mail box that had been cut down and reshaped so that she could send it first class. No padding of course. I had been wondering what was taking so long since I paid more than enough for it to go priority. When the pony came, she reeked of smoke, had a massive amount of flocking loss that was hard to see in the blurry picture, and she had stains all over. It was the only pony I've ever sent back to the seller for a refund, and she refused to refund my shipping and handling charges. Fortunately I usually do the math myself when it comes to Paypal and send the total including shipping as one payment(instead of filling out the shipping cost as seperate), and this was before Paypal was completely linked into ebay and automatically did it for you. So when she issued me a refund, it ended up being for everything. I still had to pay the $2 to ship the pony back(what it actually cost to send it first class - she charged me $18). I just shoved it back in the box it came from.
Really early on in my collecting I ordered something from a toy website I found while surfing. It was a pretty large purchase, and from what I remember shipping wasn't too bad. When I got the box, I took it down the hall into my dorm room, and it proceeded to fall apart. It literally just disintegrated right in front of my eyes. The stuff was fine, but I've never seen anything like that. It was made of several pieces of cardboard taped together with I think regular gift wrapping tape, and it just fell completely apart in my hands leaving a pile of stuff in the middle of the room.
I've gotten things in frozen spinach boxes, cereal boxes, and all sorts of strange boxes. Those three just stood out to me.