The phrase means to be cheated, though I didn’t understand why – “goods” is a general term for merchandise so surely buying goods is, well, good. And a bill of goods must be some sort of receipt – which also sounds good.

Word Detective says

“Bill of goods” was used in the non-pejorative “list of stuff” sense for many years until the 1920s, when it suddenly took on a negative spin… (“Selling a big bill of goods hereabouts, I’ll wager, you old rascals?” Eugene O’Neill, Marco Millions, 1927). “Bill of goods” very quickly almost entirely lost its simple, honest mercantile sense and became a synonym for “scam.” Just how this transformation happened is something of a mystery.

The site speculates that the phrase means the list was given to the purchaser but the goods never delivered. I’ll add my own observation that the switch to meaning a swindle occurred during America’s Prohibition era which makes me think of rum-running and accompanying swindles. I assume the phrase must have been known before O’Neill used it in a book.

A wordoriginsorg forum agrees with the O’Neill citation and includes several uses of “bill of goods” as a simple listing rather than a swindle before the 1920s, including by Mark Twain  in Connecticut Yankee in King Arthur’s Court in 1889.