The incorrect response is to do something illegal and immoral like you are alluding to.
You paid for a product, you did not receive it, that gives you no right to steal it.
What you should do, is contact whoever you bought it from and resolve the issue by having them send you another one, or refunding you so you can buy it elsewhere.
Put another way,
If I ordered a 42" Flat Screen TV on Amazon, and it did not come. Would it be ok for me to walk into Best Buy and take one? After all I paid for it already right??