That's a tough one. I've had plenty, plenty of games disappoint me over the years. Some of the bigger ones though, are fairly recent:
1. Spore
Massively overhyped as the second through seventh comings in terms of player freedom, it turns out that it's mostly a kids game with no depth or real gameplay value.
2. Neverwinter Nights
While innovative as the first profiled 3D turn-based RPG, and while having excellent mod support and addictive multiplayer, the single-player portion of the original NWN is a sterile, linear, dribbling piece of goo.
3. The Elder Scrolls IV: Oblivion
With a short (except for the close 781 portals part) and poorly written campaign, a broken autoleveling system that puts most players in no harm's way whatsoever, and dungeons that quickly become repetitive, sterile, and are always fairly small, Oblivion in it's unmodded state is not an enjoyable game. And sorry Bethesda, that AI really can't be described as particularly "radiant".
4. NHL 09 PC Version
The NHL 09 game was a blast on the PS3 and X360, with smooth graphics, responsive gameplay, and barrels-o-fun all around. Imagine my frustration when I discovered the the PC version was a butchered PS2 port of a previous installment.

Top 3 most disappointing games that we have in this thread so far :
Oblivion (6)
Spore (4)
Deus Ex Invisible War (3)

Deus Ex Invisible War is the quintessence of negative consolization. It was sequel to a game that was good because it was smart, when they dumbed it down for consoles they removed everything that was good about the game.

Oblivion - Garbage. Morrowind was great, oblivion was horrid.
Fallout 3 - An abomination. One of the worst video games ever created. Stupid combat system, ridiculous story... Bethesda really makes terrible games
Assassin's Creed - Loved the PoP games, figured this would be similar. Didn't even play through the game because it sucked so much

Just because you say it, it doesn't make it true. It's one of the best video games ever created and the vast majority agrees with me. You are a Fallout fan and didn't like the direction Bethseda took with it, fair enough. No need to say worst game ever. Would you prefer Fallout die as a franchise? Actually don't answer that.

Well this IS a topic about disappointments, Fallout 3 is ought to appear at least once. It surely WAS a great game, but it was far from perfect, and couldn't get near the perfection of Fallout 1. But it was better than 2 IMO... If someone was actually expecting another Fallout in the sense of "changes will be pretty much the same as there were from 1 to 2," they've got to be disappointed.
My 3 games? Can't really think of any, except Oblivion (still was a great game by all means) and Icewind Dale.

I totally agree with that. I took exception with this:
"An abomination. One of the worst video games ever created. Stupid combat system, ridiculous story... Bethesda really makes terrible games"
Thats fanboyism not discussion.

The community that came out from Fallout 1+2 tends to be extremely fanatic :) To be honest, it was sort of fun to watch all their swearing and complaining after F3 came out (while all of them were playing Fallout 3 all the time :D )
Anyway, biggest disappointments? Really hard to say... a while ago I bought Arx Fatalis here on GOG. It really didn't suck me in, starting with strange controls, to frustrating casting system (I hate drawing with the mouse :). But I stopped playing very fast, so noe day I might give it another chance.
Also above mentioned Deus Ex: Invisible War. It takes a special level of crappy to pull me away from a Deus Ex story :( Sigh...

I was bitterly dissapointed with Shadowrun, I even used to play the pen and paper RPG. I will still say Shadowrun on Xbox360 and PC is meh. But then it never attempted to be an RPG. I really like Fallout and I really like Fallout 3 I can't understand the rabid fans who hate it and invent pure lies about it. "Stupid combat system"? Case in point.

1. Halo - when i launched it for the first time i was... shocked. not in a positive way, it was really bad. for a moment i thought i got the wrong game (some low-budget-made one), instead of a huge product by Microsoft. i still dislike the franchise, because average fps shooters don't deserve to be bothered with. and i don't get why the series is so popular, when it's pretty much mediocre.
2. STALKER - i was expecting an ambitious game with depth. of course, i've read many previews of the game and it sounded really interesting and all i got was a half-finished and buggy game. of course, one might say, the developers included a tool, so you can modify it to fit your needs. that is no excuse for the laziness of the makers. if someone puts a bad game out and expects the users to fix it, he's lazy. and doesn't deserve any hard-earned money.
3. Metal Gear Solid - yeah, it was a big letdown. i heard many opinions about the game being so awesome and cool. i've even heard that this is the best stealth game ever. being a fan of stealth games (Thief in particular), i decided to give it a try. oh. my. god. how terrbile that was. not only the controls are really annoying (talking about the pc version), you could never see what was going on and the plot was so silly and idiotic... i didn't know what to think. still, it sucks.
one thing that bothers me about all these three games i mentioned is the huge fanbase. halo, mgs and stalker have a huge amount of enthusiasts (or fanboys, as one might call them) all over the world. these are really bad games. and were a huge disappointment for me.

1. Quest for Glory V: Dragon Fire - Worst offender for me, the interface and controls were poor, and it felt like a funeral for the series given all the previous characters showed up.
2. Fallout 3 - Not my style, but I thought I'd give it a shot. Wish I hadn't really, I won't go into more detail because it's all been said before.
3. Ultima IX - What a way for the series to end, not with a bang, but with a whimper.
Dishonourable mentions: Oblivion, Heroes of Might and Magic V (mostly my fault, I built it up too much), Monkey Island 4, C&C3, RA3, Championship Manager 4 and Neverwinter Nights 2 (I preferred NWN1, but thank god for MotB and SoZ).

THANK YOU. I LOVE Fallout 3, and I did buy the first 2 games on GOG with the Interplay 2-for-1 deal.
The combat system IS broken, but the VATS system is the most awesome band-aid ever.
The story was simple, and that's the beauty of it: In such an environment, could there be any other story?
My 3 most disappointing games ever:
GTA4 - I HATE DRIVING!!! >:C "Nico take me here/there/everywhere/chase that guy/dont attract police attention" and "NICO!!! It's your severely retarded cousin Roman! I talked too much because my eating hole is wider than my asshole and now I'm about to eat a .50 cal slug!" "Nico! It's Lil Jacob! Wanna go bowling?" [in the middle of a FUCKING CAR CHASE!!!] I HATE GRAND THEFT AUTO *ragequit*
Silent Hill Homecoming: I really love half of this game. From the opening sequence to Scarlet (one of my favorite survival-horror bosses ever) is really well-done, but after Scarlet, the game goes downhill really, really fast. Asphyxia is a stacked female Paleman [Pan's Labyrinth] centipede thing who got really cheap hits and wasn't terribly interesting and got very cheap hits on you. You couldnt decide if she was terrifying or sexy until you realized that her weak spot was a big pair of testicles. Amnion was a pain in the ass and was not at all scary. But the kicker is when Alex says "...I forgot." I CAME ALL THE WAY DOWN HERE FOR THIS??? WHAT THE FUCK IS WRONG WITH YOU???? *Ragequit and controller-wail at the TV (no I didnt do either, but I was kinda pissed when I first played it)*
Final Fantasy X-XII - I love Final Fantasy. I do. But I cannot love the FFs on the PS2. There were no likable characters in either X or XII. Tidus was such a dumb little piece of shit that I'm embarrassed that SquEnix chose him as a main character. "I'm going to run around and have absolutely no idea what's happening, and I'm going to make awkward and uncomfortably asinine remarks throughout the whole game." The world map was linear even when you got the airship, which is when true freedom kicks in in every other JRPG I've ever played. The only redeeming factor of FFX was the combat system, but there's no way immediately switching out party members like Pokemon could make up for everything else. FFXII was simply not very interesting. Vaan was just like Tidus, and his companions were devoid of personality (which is slightly better than what can be said about Wakka...). I thought the combat was a decent idea until I got my ass beat so hard and realized I'd rather play a real-time multi-party-member RPG with a mouse and complete control (see Planescape).

No. The combat system was stupid. Fallout 3 was a major disappointment because it sucked as a game. I understand they were taking it in a different direction, Bethesda only makes 1 game they just change the name of it every couple of years, so I knew what to expect going in. Problem with Fallout 3 is that it's a bunch of shitty games rolled into one massive steaming pile of gaming fecal matter. As an FPS (the core combat used in the game) it is substandard compared to others available. The RPG elements are so weak they might as well be non-existent and please don't even get me started on the "VATS" system, which was a horrendously useless gimmick. The story was full of stark contradiction and just downright stupid. All in all, Fallout 3 was one of the worst games ever made, and in 5 years, no one will be talking about it because shitty games lack longevity. Lots of terribad games have been successful at the beginning, and Fallout 3 sold well because;
1. People who grew up on the IP bought it regardless of the fact we knew it would suck because we had a glimmer of hope Bethesda wouldn't completely ruin a gaming franchise.
2. It's an amazingly cool IP, so people new to the series bought it up and the hype machine made everyone think it was a hot item
3. Bethesda marketed the game well thanks to essentially ripping the intro movie from Fallout 1.
You can argue till you're blue in the face about why you think Fallout 3 was a great game, but it wasn't. To me, Fallout 3 is kind of like CFL football. It sucks and I don't trust anyone who is a fan of it, because to be a fan of horrendous things like that you need to be a unique breed of person who likes all things brutal

Ok well I enjoyed it.