Some books, movies, and whatnot are commonly regarded as one genre, but are actually another. For example, Little, Big by John Crowley is usually considered a fantasy novel. It’s actually horror. Likewise, Alan Moore’s Miracleman is a horror comic disguised as a superhero comic. Twin peaks was sold as a mystery, but it wasn’t really.
What are other examples?
Woody Allen’s A Midsummer Night’s Sex Comedy is a tragedy with the message that love never truly brings happiness.
Bridge to Tarabithia was marketed as a fantasy. Its not a fantasy. I think its slice of life. YMMV
What about The Godfather movies? They were meant to be tragedies, but lots of people seem to take all the wrong lessons from them- just like Breaking Bad and the Sopranos.
I went to a bookstore once and asked if they had any of the Yes, Minister books and was directed to the religion section. They’re actually British political satire.
I also think that Forrest Gump plays as a tragedy; someone who gets to experience so many significant historical events but is unable to appreciate them.
I mean, ‘who killed Laura Palmer?’ was certainly a mystery. Just a quirky, dark one.
Anything that gets labeled with the genre “Science Fiction”. That’s not a genre; you can write SciFi stories in any genre. Adventure is a genre, and probably the most common among those with a Science Fiction setting. Horror is also a fairly common one, but there can also be comedies and any other actual genre.
I’ve always seen Jurassic Park put into the “action” category which it really isn’t, it’s more adventure/thriller.
All of Terry Pratchett’s Discworld books are labeled as “humor”. And yeah, most of them are pretty funny, but that’s not really the core of the books. And some of them are just straight-up drama, with no more humor than any other drama.
Conversely, humor is the core of Alice’s Adventure’s In Wonderland. Somehow some people seem to miss that. It’s most commonly classified as fantasy, which it is, but in rather the same sense as Monty Python and the Holy Grail. They’re both an excuse for a series of comedy sketches.
Daddy’s Dyin’ . . . Who’s Got the Will? is listed as a comedy, even on its imdb and wikipedia pages. But the jokes are few and far between, and not very funny. I would have described it as a drama, and a pretty serious one at that. (It’s a good film. It’s just not a comedy.)
A large portion of Ray Bradbury’s stories would be classified as Magical Realism if they were published today.
It’s a coming of age tale.
Blake Edwards’s The Man Who Loved Women was marketed as a comedy. While there were some funny scenes (all of which were shown in a trailer) it was primarily a relationship drama.
I remember a similar mislabeling, but with music. More than 25 years ago, to my initial joy, a CD store opened just across the street from my house. But I soon figured that the owner was an idiot with no knowledge of music at all. So where did you find “The Eagles Greatest Hits”? In the heavy metal rack…You see, the cover has a skull, so it must be heavy metal. 
Another story to demonstrate the guy’s cluelessness : I once asked him to order Lou Reed’s “New York” album, and he cried out “I know this one! “New York, New York”, Frank Sinatra!”. I said “No, just “New York” by Lou Reed”. His reaction: “Lou what? How do you spell that?” 
My story happened at Powell’s, which is the best bookstore in the known universe. But when you’ve got a million books, you can’t know where every single one is located.
What rack did he put “Metal Machine Music” in? I’m not sure there is a correct place for that.
In the ‘I went to a bookstore once’ vein, I found among the books about the preparation of organic matter for caloric intake a copy of . . . The Anarchist’s Cookbook.
Worst. Recipes. Ever.
If he had have such niche CDs, he surely would have put it next to the Eagles in the heavy metal section. Because it has “metal” in the title.
I once was told by a friend that he found a copy of Roots in the gardening section of a bookstore. He may have been pulling my leg, but it made me laugh.
I’m sure we all remember when Apollo 13 was in the Science Fiction section at Blockbuster.
That’s not necessarily inappropriate. It’d be a good example of hard science fiction (like The Martian) if it weren’t a true story. And arguably, it, like any “based on a true story” movie that isn’t a documentary or a 100% accurate depiction of what actually happened, could be considered historical fiction.