Might be an obvious choice, but I think grand theft auto 4 was a huge let down. It sapped so much of the fun away and replaced it with real life grit...
I DON'T WANT REAL LIFE GRIT WHEN I PUT THE BEATDOWN ON SOME OLD LADY!
Invisible War as some have already said. Bioshock 2. I can't say MW2 as I never like MW.
Battlefield Bad company 1 and 2 (if you were to take them as a sequel to the old battlefield games which were awesome).
Jedi Knight: Jedi Academy... I hated Jaden... I wanted Kyle again.
Metal Gear Solid 2 was a let down slightly, but 3 and 4 were much better.
Thief 3... Oh god. Same engine as Invisible War. I think it's just such a bad game engine that makes it so unbearable (as a game they were still fun).
Sonic 3D... I hated it so. Also, any Sonic game after Sonic Adventures.
Mario Galaxy. In fact, mario after the 64 version... I just never liked the new games.
Resident Evil 5 was incredibly dissapoint after the stellar 4 (how could they lose such inspiration).
Command and Conquer Red Alert 3. Not terrible, but it was lacking and not as fun as 2.
Legacy of Kain Defiance: Story was great, but the gameplay losts it's edge... too mainstream actiony and took away from the aesthetics of games like Soul Reaver.
You know, I could just keep going so I'll leave it at that.
EDIT: OH YEAH... turok 3 and 4... my god what a huge dissapointment, I know the originals weren't fantastic, but I really enjoyed them. Do they even have a fan base after 4?