I could probably write a book on games that have disappointed me, but I'm honestly not bitter. Having said that, here's a list:
Neverwinter Nights - Wow. Bioware does not equal Black Isle. Not only did they go from the infinity engine to a really crappy 3D engine, but also they made a D&D game in which you don't have a party. Instead they eliminate one of the foundations D&D is built on, and you get one companion who you can't directly control. Genius! The toolset that came with it was nice, but the game itself was terrible, especially after the greatness of the Black Isle games.
Star Wars Galaxies - As others have said this seems like an idea that can't go wrong, but it did in almost every way imaginable. The most amusing part of it for me is the fact they completely changed the game once the only people who were left playing it were the ones who liked the way it was. Way to slap your staunch supporters right in the face, SOE. Longtime players of SWG are the martyrs of gaming. I'm not going to list all of the things I found personally terrible about SWG, but it felt like they were using the game to experiment with all the things they could do in an MMO instead of trying to create a solid MMO set in the Star Wars universe.
While I'm at I might as well mention I've been disappointed with every MMO since Ultima Online. Maybe it is because when I played UO the idea was fresh, but since then the genre seems stagnant, and WoW has basically just fine tuned a formula I hate. Questing has always been the weak point of MMOs since your quests invariably don't matter because they must be created so every single other person can do them as well, and WoW is all about the questing.
KOTOR - I honestly wasn't impressed. Maybe I had run out of enthusiasm for Star Wars at that point, but I just couldn't stick with the game, but then I'm also one of the few people who actually liked Jade Empire so what do I know?
Oblivion - I'm one of those elitists who likes Morrowind better. I had to use something like twenty mods to fine tune Oblivion to my liking, and I think it is awesome that I was able to do that, but it also shouldn't be necessary. I didn't so much like Oblivion as I liked the game I could make it become.
Call of Duty 2 - It felt exactly the same as the first game to the extent that it was difficult to tell the difference. To be fair I was also getting pretty sick of WWII by that point, but that doesn't change the fact that it was simply more of the same.
STALKER - This is a game I hadn't heard anything about on release, but people on various parts of the internet were raving about it, comparing it to Deus Ex. After buying it, and not seeing anything special about it I determined I shouldn't listen to other people when deciding what games to purchase. There isn't anything wrong with the game in particular. It just didn't do much for me, and I had been led to believe it was fantastic.
Bioshock - See the Zero Punctuation concerning Bioshock. I feel basically the same way. At one point in the game they drag the idea of following the orders of someone else as the main motivation for your progress out into the street, and shoot it, but soon after you go right back to doing just that.
FEAR Extraction Point - I loved FEAR. I mean I really loved FEAR. IT has been a long time since a game gave me the creeps, and made me jump out of my chair, but FEAR also provided some really great action, and an interesting story to unravel. Extraction Point's story made no damn sense, and basically destroyed everything that had gone on before. The action was still good, but everything else about it was not.
Warhammer Mark of Chaos - I used to play the table top game so a Warhammer fantasy RTS sounded great to me. The execution was lacking at best. Never mind the patch that was a couple hundred megs, which should be indicative of something having gone seriously wrong during development. The loading screens had loading screens. People think I'm joking when I say that, but it is true, and what's more even quitting to the main menu required a loading screen. The sad part is that the game play when you were actually controlling units on the field was pretty fun, but there was so much chaff to wade through I just didn't want to bother.
Call of Cthulhu Dark Corners of the Earth - I'm a big fan of Lovecraft so a game set in Innsmouth sounded several kinds of awesome. The problem was this game couldn't decide what genre it was. If it was a shooter it was light on weapons. If it was an adventure game some dialogue options would be nice. Too many times you talk to a person just to watch what amounts to a cut scene of them talking without your input being needed. I've never played any game where I have felt more acutely I was just moving my character from point A to point B. Also being a fan of Lovecraft actually hurt more than it helped because it robbed the game of all its mystery, and horror.
Prince of Persia Warrior Within - I think my problem with this game can best be summed up by the words, "I smolder with generic rage."
TimeShift - I was really looking forward to this game, but the demo left me flat. The ability to stop, reverse, or slow time didn't give me nearly the tactical freedom I expected. Maybe it is because the demo attempts to walk you through your various abilities, but it felt as if they were just there to get through specific situations.
Hellgate London - I'll ignore the bugs for the purposes of this rant. I just realized that I'm beyond wanting to play Diablo again even if it is dressed up in a new IP, and a 3D engine that is disguised as a shooter. Between the randomly generated areas, loot hoarding, and monsters that only attack once you get a certain distance from them it plays just like Diablo with guns. That might be awesome for some people, but I was expecting more.
I might as well take this moment to point out that I'm apparently the only person on the planet who wasn't disappointed with Fable, but the reason for that is I never heard any of Peter Molyneux's insane promises about the game. I was simply starving for any RPG at all on the Xbox at that point. I also wanted to end on a positive note after all of those disappointments.