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This happens all the time. There are a couple implication of this fact:

1) Do not be too eager to shove all your chips in when you have the best hand at the flop, because with two cards to come, you may not be favored to win.

2) A hazard of playing short-stacked is that it is more difficult to shove deeper stacks off good drawing hands because you can't hurt them as much as they can hurt you.

3) Bankroll management! Bankroll management! If you are managing your bankroll well, then this kind of negative variance will still hurt, but less so because you are respecting your roll and what losses you can afford to take, and when you do lose, you'll be able to just suck it up.

FWIW, I find Full Tilt is the TOUGHEST, MOST difficult site to play. Maybe Pokerstars, too. But I do not believe either site is rigged. I think what makes them difficult is the fact that they allow players to employ all these poker software assistance packages, and also, the players on those two sites are just REALLY GOOD. lol