Weirdly enough, I can't think of any games I'm legitimately BAD at. I've always been very good at getting the hang of things pretty quickly, and as soon as I know my enemy, I'm very hard to kill.
To be fair, strategy games make me nervous. I've always been a defence-first type of person. In Dawn of War, I liked to build my base up, set up a perimeter of turrets and position infantry teams in craters between my base and the enemy's.
I quickly learned that this method does not work online. Unfortunately, Chaos Space Marines are somewhat unbalanced. The average marine is an overpowered monstrosity, and they can be churned out quickly and cheaply, rushing your base so you can't even hope to develop superior technology. My own space marines held them back at the craters, but for every squad that died, I had to get reinforcements across the fields to the crater, while the enemy just had a god-damn steady stream of them. Relief came when my ally came in with a few vehicles, mostly flamer-armed ones, but then we lost the game, because enemy #2 had been waiting for this, and rushed the ally's base while his men were reinforcing mine. That left me with two streams to cope with. I went down fighting...I have THAT to be proud of.