I got my first rejection letter for a postdoctoral job that I had applied for. I will admit... it might not have been the best fit, but the training provided sounded awesome, and I *really* liked the location.
I'm kinda ambivalent about these things... On the one hand, I would like the opportunity to explore some non-traditional career paths. On the other hand, I seek security. I keep thinking maybe the "rejection" is a blessing in disguise?