The Incognito Market was a notorious dark web marketplace that operated from 2020 to 2024, facilitating over US$100 million in illegal transactions. Founded by the enigmatic “Pharaoh,” this platform thrived by leveraging sophisticated trust-building mechanisms among criminals. However, in early 2024, Pharaoh executed an exit scam that evolved into an extortion scheme, threatening to expose user data unless ransoms were paid, highlighting the complexities of trust in illicit markets and the ethical challenges posed by such environments. How should vendors and buyers have responded? And how can trust be established in high-risk or unregulated environments, including legal marketplaces in countries with low state capacity and rule of law?