Pretty sure there are a few for me.
#1: Star Wars Online - tried it for about 30 minutes before I just said "nope!" and walked away forever.
#2: D&D Online (yeah, yeah, another MMO) - I love the concept of the game, the look of it, and they did an excellent job from all I did play; but the fact is that I like to be able to play SOLO when/if I can't find a bunch of friends to play every time I log in. I completely understand that it's supposed to be like a D&D experience where you need to have a bunch of friends sitting around and working together to accomplish whatever quest you have placed in front of you at the tavern, but the reality of a video game is that not everyone can actually be on at the same time. It's not convenient, even if you just want to log in unexpectedly to mess around.
#3: Devil May Cry 3 - first of this series I'd ever played. My friends had gotten all hyped up over it, so I figured I had to pick it up. As much as I enjoy a good hack-n-slash, this was just too damn ridiculous for me to get past the first 10 minutes of gameplay. Thankfully the store wasn't far for the return.
#4: Rayman: Raving Rabids - really?
#5: Halo 2 - this one I'm definitely NOT proud of in the least! My brother and I stayed up all night and finished the first Halo on Normal Co-op as soon as we got it. We both played solo games on the higher difficulty levels whenever we weren't playing the multiplayer and running each other over in Warthogs. I was really excited for the 2nd one! For some reason I can't explain, and won't even try to, I only played it for a few days, mostly the multiplayer, and haven't picked it up since for more than 10 minutes to a time.
#6: Seaman - possibly the worst game purchase I've ever made.
and #7 (cause it feels like a good stopping point): Shenmue 2 - this one also isn't about hate. The problem came when I found the plinko-like games. I spent all my time and money playing these just to make more and more cash. I don't think I got past the point where I found the 4 boards set up next to each other, each with some really nice odds. Play the easy odds till you get some cash built up; move to the next one up until you either lose enough so you have to play the first one again or you can move on to the higher odds; continue. It was fun, but after playing just that part for about a month I realized that I hadn't seen the Sun in a while.