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Band changes of direction that you can't/couldn't stomach.
Biffy are mine. Suddenly being the Foo Fighters with worse lyrics was a bad turn of events.
Also, and in hindsight I was being ridiculous, I took R'head's change to 'Kid A' pretty bitterly. It was too much, especially since I love JG's guitar playing and he was suddenly dicking about with a fax machine (synth patch bay) on stage. Gah.
Do you have any particular moments where you went "ah crap: there goes my favourite band :("