What feels illegal but isn't?
For me: Cancelling paid subscriptions should be as easy as subscribing. I hate the fact that they actively hide the unsubscribe option or that you sometimes should have to write an e-mail if you want to unsubscribe.
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Leaving a supermarket without buying anything
Sometimes I get so pissed they don't have the main item I came for, that I go put everything back on the shelves, exactly where they came from.
That largely depends on what you take with you as you leave.