I never have (that I can remember, anyway), but I remember my brother did once - and broke one of the buttons somehow - because my mum told him he had to stop playing so I could have a go. This was when we owned a Master System, which should give you some idea of how old we were at the time
I usually just end up screaming incoherently at the TV when games annoy me... which is a lot less expensive, let's face it.
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Why so serious?