DMC. I'm better than most of my friends, but then I see youtube videos of the real pros and I just feel woefully innadequate after that.
Civ4. I'd like to be better at this, but it takes so long to learn the full intricacies of the game and I just don't have the time. I also just started a play my email game with 10 others guys I know, so I'm probably gona lose hard!
Wipeout. Again I'm already pretty good, at least among my friends, but online I'm only really average. Eliminator is my playground usually, but zone mode is impossible for me.
Pretty much any 3rd/1st person shooters online mode. I'm usually ok at things like Unreal, Killzone, warhawk, etc, but I want to be better. I want to be the guy with the 2.00+ KDR rating, not 1.10.
EDIT; oh and fighting games, SF4 and SC4 particularly. I used to love playing SC 2 and 3, but when I took 4 online I realised how crap I was and stopped playing. And SF4 was no better. But I will probably never buy another fighter again now, because it would probably be a waste of time and money.