Well, given that I work at a games store, I can pretty much return something I don't like within a week quite easily, so the number of games I get that screw me over are minimal. There are some things you can't return, however. Namely PC games with one use codes and collectors edition. My biggest "screwed over" games in memory:
* Hellgate: London - The biggest clusterfuck in gaming history? I'd consider it mine.
* Dante's Inferno: Death Edition - Used the code for the Dead Space skin, never used the skin, finished the game, didn't like it, trade value was 1/10 the price. Goddam it.
* Diablo 3 - Had I been able to return this collectors edition, I would have, since it was all garbage. Sadly, thanks to battle.net, that is not possible. Instead I just have to make do using the box as a prop to keep my blu ray player off the floor, and the game disc as a coaster. Bummer.
* Dishonoured - Ok, so it's not a bad game persay. I just had interest in it in the negative digits. However, I really really wanted the collectors edition Tarot cards. Sigh.
and, the most recent edition:
* Aliens: Colonial Marines Collectors - The worst looking, worst playing, most poorly written shooter, only slightly above Duke Nukem. And it had a kick ass statue of an Alien fighting a Power Loader. Why?! Why gods why!! I couldn't bring myself to part with it. Kept the collectors stuff, traded the game in the next day for pittens. Amusingly, because of the street date break her in Australia, I'd literally bought, played, and traded the game back 3 whole days before the rest of the world had even seen it on the shelves. I tried to warn people... they wouldn't listen! They just wouldn't listen!!!