I was kind of conned into applying for it thinking it was a rewards type of card then realized it was a actual credit card. I figured I needed a credit card to begin building a credit score anyway so I went through with the application. Then I returned the item I purchased (found less expensive somewhere else), never used the card again, and never plan on using it again. Will it affect my credit score if I cancel it or even just let it go without using it?
Yes. Part of the credit score is ratio of debt to credit. Thus, by closing the card, you removed available credit, and that would make the score worse, NOT better.

Example: say you have 2 cards totally 5000 in credit. You have balance of 1000 on one, zero on the other. Your ratio is 20%, or 1:5.

By closing zero-balance card, your ratio is now 40%, or 1:2.5 or 2:5. Suddenly your debt to credit ratio is TWICE as bad.

The ratio is about 30% of your score, so it can be significant. Keep the ratio UNDER 20% is the common advice.
It is better for your credit score to have credit, but no balance. It means you can be responsible with the credit available to you. However, watch the card carefully, because many companies are adding new fees because of the whole credit crunch. Just make sure you pay attention to any mailers they send you.
It depends….

If you have other credit cards and they all have zero balances, then it won't really do much to your credit score because your debt to credit ratio will stay the same.

But, if you have balances on your other credit cards, or this is your only credit card, it will lower your credit score if you cancel the account because your debt to credit ratio will go up.
You should keep it, even if you don't use it. It's good for your FICO score to have more available credit than card balances. Plus, it's good to have a history of credit. If you cancel it, that history disapears. As a bonus, it's nice to have for emergencies.
Yes I would keep it. It could hurt your score to get rid of the card with the zero balance. It shows creditors that you have available credit and that you are responsible.
You can use this credit monitoring service to pre-estimate future scores for different scenarios of such payments - creditreport.imess.net