Blue-Ring Octopus... and need I mention "Wonderpus" or "Mimic" Octopus again...
Blue-Rings for their ability to kill a person. Not just a bite and "I'm dead" a few minutes later, but being fully aware that you are dying, but being unable to speak, breathe, move, or blink until you finally do die. Completely aware of what's going on around you but not being able to do anything about it. Not a good way to die.
"Wonderpus" or Mimic Octopus because they are a rare find in the ocean. Possibly an endangered species. Very little is known about keeping them in captivity, because the mortality rate is very high, even amongst expert level hobbyists and scientists. Keeping of such a creature is very selfish.
Any other octopus really, because they need an escape proof tank. Since they can squeeze through any hole the size of their relatively TINY beak, this is much harder than most reallize. Also, they rarely adapt to frozen food, some will, some won't. You almost never know exactly what species you are getting. Pygmy? Briareus? Vulgaris? "Common Reef Octopus" doesn't mean anything but "I don't know what kind it is". Species specification is important for the husbandry of the animal because you don't know if it's going to prefer day or night, crabs or fish, mud or shells. How old the animal is vs. how long it has to live.
The continuance of purchasing these animals from unreliable sources perpetuates the trade in an irresponsible manner. And not only octopus, but any sea dwelling creature that would have faired better in the ocean than in captivity, and that says A LOT. Given, there is room for experimenting, which got the hobby this far, but should only be attempted by people with the right experience.