Of my last four propane tanks, I've had this problem with two: I turn off all (five) burners on my grill and (obviously) leave the tanks valve closed, but as soon as I screw the regulator onto the tank valve, there's a hissing sound of gas and the accompanying smell. This lasts a few seconds, then stops. Note that this is before any valves are open.
Then, as soon as I turn on the tank valve (still leaving the burners off), there's more gushing gas sound. This doesn't seem to stop, even if I let it go for a good few seconds (maybe thirty in total). I've used soapy water to track the source of this leak, and found it to come from the back of the tank valve — the side opposite the threads, which I gather is the pressure relief valve.
In each case, I've attached a different tank with no trouble, then tried the bad tanks again and had the problem. So I assume that this is not a problem with my equipment. Maybe it is, and only turns up with some tanks, but I doubt it. My main point of evidence is that the gas is actually exiting the propane tank valve itself, not my regulator, hoses, etc.
Last time, I just exchanged the tank and ate the loss of money because I was in a big hurry. But now I'm wondering, is this a known problem? Should the store I bought it from agree to just replace my tank for free? Is there some reason this might actually be a problem with my equipment?
EDIT: I took the tank back to where I got it, told them the problem, and they just replaced it for free, no hassle.