These may be some controversial picks but it's my regret and I'm not saying any of them are terrible games, (except C&C 4).
World of Goo - Fantastic reviews, but I didn't like it. What the reviewers found charming I found annoying, can't sell it (downloaded it on Wii).
Okami - Fantastic reviews, and while it looked great the gameplay was just 'find key to open door' but dressed up to look like there was more to it.
Command & Conquer 4 - Didn't read reviews I bought it on the history of the series which I had gotten some enjoyment out of. Just bad.
Kirby's Epic Yarn - Saw it at E3, thought it looked amazing (that's more what I find charming). Should have played it because, while it does look good, I found boring as hell.
StreetFighter 4/ Virtua Fighter 5 - Good games, I even bought an arcade stick. I just didn't realise that I'd lost interest in fighters about two or three years ago.
Half-Life - Fantastic reviews. Found the gameplay too linear to enjoy. (didn't like the series until Episode 2, but now I'm looking forward to episode 3).
Star Wars Battlegrounds - Love Age of Empires 2, love Star Wars. The voice samples in that game made me start to hate Star Wars.
There are plenty of others (like some Wii/DS crap) but these are the high profile ones that stick in my mind the most. Whenever I buy I dud I sell it immediately and usually get close to what I paid so it's never a huge regret. Except in the case of World of Goo and C&C 4 which I can't sell.
But for every dud I've bought I've come across some amazing gems like Little King's Story (Wii).