I've never had a missing brick yet, and I've bought more used kits than new. I've gotten a couple really really cheap because they were missing instructions, but then I just download them and print them out at work...
We actually bought a set new at a store that turned out to be missing the instructions. Lego was really great about it. They took down our address and sent the instructions, which arrived in about 3 days. We've had good luck with them also the rare times we've gotten a new set with a missing piece. I never thought to check the internet for instructions.
Reggie Bautista
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