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Why does this phrase enter the language? Because sometimes people would take advantage of others, and place another animal of dubious economic value in it's place: the cat. (I stress "economic value" for the cat-lovers among my readers, because I'm also fond of cats. But you can't eat 'em). So, buying a "pig in a poke" is to take a risk on something sight unseen.
One reason I find this particularly interesting is that this is also the origin of another phrase: "let the cat out of the bag." (How often was this going on, anyway? Were there lots of gullible people routinely buying piglets in sacks?) You've given away the secret: it isn't really a pig at all. The cat runs away, and you're left holding the bag.
Actually, that's a phrase that's been running through my head lately, but it seems to have a different origin. They can't all be about buying piglets, after all.
You'd think the gap since I last posted would mean that I'd have something really good today. Sorry.