I agree with Tbone. It depends on the situation. If it's on an instock vehicle on which no extra work was done then yes, they should refund your deposit, providing you didn't sign any non-refundable clause.
If it's on a vehicle that had to be dealer traded, shipped or towed, or driven from somewhere else, on which custom work or accessories were added on, or just on a vehicle on which expenses had been incurred for the customer, then chances are you won't get your deposit back.
What kind of vehicle was this on? What were the circumstances of this sale? Why don't you want it anymore?