I guess I don't get this thought that we should suck up and not return things that aren't right. I try to buy locally if at all possible - either at my LSS, or at M's, HL or JA.
I also try to purchase other things I need locally - clothing, horse items, etc. I realize I'm lucky to live where there are a lot of options. I did recently purchase a gift for my daughter from a store in another state, which didn't fit. I sent it back. Yes, I spent $6 to return it, but it was enough of a bargain even with the extra $6 to make it worth it.
I do, however, ALWAYS know the return policies of the stores I do business with. There is a clothing store here that has cute things, but will only take returns for store credit. I don't shop there very often. When a store gets something in that is defective, they can send things back to the manufacturer. Manufacturers want to know if their products aren't good so they can fix that.
Save your drama for your llama.