Sally said it well, but the offer usually has conditions that say the buyer does not get their deposit back if "they" default. If the seller causes the deal to fall through the deposit might get returned. It's all in how it is written and if it was a deposit or option fee.
Maybe I'm not fully understanding your question, but it sounds pretty self explanatory. The effect of a non refundable transaction means you don't get your money back if the deal falls through. Care to offer more details?