The Prince Of Persia reboot. Not the one that went with the movie, but the one that came right before it. Where the Prince is dressed in flowing scarves and has the damn wall-grind glove. I got this game for FREE and I still felt like a tool playing it. It was the first time I ever played a game, and I was trying to kill myself, just for some excitement (never mind, you can't actually die because damn Elika or whatever she was always saves you). Big frustrating mess. Worst game I ever played. Nothing compares.
To pick a game I paid for, I'd go with Guitar Hero: Aerosmith. I'm a rhythm game fanatic, and I figured that Aerosmith could be fun. And at the time, it was on sale, with the guitar controller, for like 20 bucks. I thought to myself "good deal yo!". A few songs later, and I was ready to knock my teeth out with my own plastic guitar. Truly, a rhythm game should not be centered on just one artist, I don't care how good they are or how much you think you like them(here's looking at you Beatles Rock Band and the likes). Returned it without even unlocking all the songs. But at least I got an extra guitar out of it for co-op with my other rhythm games!