When I saw The Who during their first farewell tour circa '81 or '82, the opening act was Billy Squier. Of course, he was total shit. But it wasn't actually a disappointment, because I already knew that.
My biggest disappointment wasn't due to rockstar behavior, but to the fact that when I saw The Doobie Brothers (in their prime, before they became The Michael McDonald Band), the opening act was supposed to be Mountain but they didn't make it due to illness. It would've been awesome to see Mountain.
Also, when I went to see Linda Ronstadt, her opening act was Stephen Bishop, and I was disappointed that he didn't have his entire head lodged up a water buffalo's asshole.
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Legend, oh legend, the third wheel legend...always in the way.