Desperados: Wanted Dead or Alive. I just... don't like it. I heard it was like the Commandos games (which I really like), and at first I thought it actually kind of was. But after a while it just stopped being fun. I had to really struggle through it. It was ridiculously hard, and the whole time I felt like something just wasn't working right.
Riven: The Sequel to Myst. The game is probably good. Really, it probably is. But the whole slideshow thing... bleh. I kept getting turned around and I had an even more lost feeling than I had when I started realMyst (which may have been my first problem; I greatly enjoyed the 3D environments, so going a step back technologically probably was the best choice).
Realms of Arkania 1+2. Now, I through this in with a bundle of other RPGs I was buying here on GOG one time because it sounded like it might be interesting. A really difficult game with true roleplaying (at least that was the impression I got from reviews). My first problem was the complicated and limiting ruleset. I tried reading the manual to help, but I didn't feel like I knew much more about the rules afterward. And then the whole presentation... I don't need the latest and best graphics, but I just couldn't stand looking at those graphics.
So basically, all of the purchases I regret are my own fault. I knew pretty much exactly what I was getting into, knew I probably wouldn't like the games (Desperados excepted), but I bought them anyway. I guess I'm just weird like that.