Often, I have wondered about this. I have two unsmoked pipes -- both of them great pipes by my measure, at least to me -- but I can't for the life of me explain what held me back. I purchased both in the same time frame: 1998 to 1999. They were completely separate transactions and are completely different pipes.
First was this Upshall A grade diamond shank. I bought it from a display cabinet at Dick Silverman's Chief Catoonah's pipe store in Ridgefield, Connecticut.
Then, it was a Peterson Sherlock Holmes Lestrade. It was one of two Sherlock Holmes pipes that I purchased through a large group buy arranged from James Barber Tobacconists in the UK. (The other, a Baskerville, I sold years ago -- still unsmoked.)
Even though I have recently been thinning my pipe collection, neither of these two are on the block. I don't know why they're still unsmoked except that, over time, the resistance level seems to increase.
If there's any moral to take from this story: smoke it when you get it.