Defective P3D?

Just got mine today. When I twist the light to go to turbo mode the light goes out. I have to back it off to get it to work. Whole thing seems very twitchy.

I've never heard of that specific problem myself, but it sounds like a bad connection at full twist since you do get the low modes. Have you tried cleaning the threads to ensure you're getting a clean connection? If that doesn't work I'd contact the seller, as all of my Fenix lights have worked without any issue (P3DCE, P3DQ5, P2DCE, P2DQ5).

Are you sure the batteries are fresh?

If so, then I've no idea what the problem could be.

1) check the battery voltage
2) clean the threads and PCB with alcohol swab

I got a P3D with the same symptoms and had to send it back to the Fenix-Store (those guys were great, btw!). Supposedly it was a bad head.

The replacement I got was also doing some weird things that at first seemed to be a similar problem, but what I ended up figuring out was that the switch (being a 'momentary off') was being depressed slightly by the rubber tailcap (may have been the switch wasn't evenly seated in the tail cap). I took the tail cap apart, and before reseating the switch, I used a spare o-ring as a spacer between the rubber switch boot and the switch itself so there wouldn't be too much presssure from the boot on the switch. Tightened the retainer ring in the tailcap to 'just barely snug', and it's been 100% since. Worth a shot before doing the RMA thing...