The first Mario & Sonic Olympics game. Literally returned it the next day. I had naively figured that "Hey, Nintendo is partnering with them on this, and it'll basically just play like Wii Sports, but with Mario and Sonic characters, how could they possibly fuck that up? I'm sure it'll be fun."
And then I remembered, upon playing it, that Sega made it. Sega of today, is not Sega of the 90s, or even 15 years ago.
Another far bigger disappointment that I returned within just a few days, was Tekken 6. I had preordered that, and it, along with The Last Guardian (and later Dragon's Crown), would be my most anticipated PS3 games, and my reasons to own the system. Well, Tekken 6 came out, and while the graphics were dandy, and the regular arcade/versus modes were fine, the fact that you couldn't seemingly unlock the actual character endings in the Arcade mode like you had pretty much ALWAYS been able to before, was lame as fuck. And the so-called "Adventure mode" or whatever that was supposed to be, was pretty awful. All in all, the game just lacked content and was not great by any means. I suppose I was just spoiled by how GREAT a package Tekken 5 on PS2 had been (seriously, they spoiled us). But with the exception of Tekken 2 which was fine, it seems like the other even numbered Tekken games have been, more or less, garbage, while the odd numbered releases (namely 3 and 5) have been fantastic.
So long story short, I took Tekken 6 back less than a week after getting it, and traded it back in (one of the rare times I've done so, as I prefer to keep/collect games), and got store credit which I put towards pre-ordering New Super Mario Bros. Wii. Which subsequently wound up being a great game, so it worked out, I guess. But I still would have rather Tekken 6 been worth the money.