I submitted a short story to a magazine a month ago and today I got the rejection email. It was very nice (though not written specifically for me or my story), but is still a rejection. Interestingly enough, I was expecting to be rejected. I think every beginning writer that braves the wilds of submission gets used to the "thanks, but no" response from editor. You never know when you might get that acceptance letter!
ETA: I thought I'd clarify that it was a story I had shelved because I didn't think it was original enough. I just submitted it because it happened to suit the parameters of the submission offer. So it was a low-risk thing.
High risk is me getting my butt in gear and finish and market a fracking novel.