They're not all created equal; some just don't look as nice (or work as nicely) as you thought they would. More commonly, you'll find that a theme's clever and lovely designer has created a theme that's stupendous, but just not right for your needs. Common features that leave me crestfallen: Lack of a sidebar or other region I was hoping to see; text format bummers (like block quotes that appear no different from other text, or h3 and h4 headline tags that look the same); and admin pages that "break" and become unusable due to width issues.