Not sure which was the most disappointing for me but these three stick out.
Final Fantasy VI - I really liked the game, but I was equally sad. I loved FF IV so much that I have played it at least 10 times through. FF VI was almost the flipside of IV in terms of story. Instead of one main protagonist with great side characters and a more grounded fantasy, VI followed multiple protagonists and started the push for FF games to move into very steampunk. Though VI is a great game I still blame it for moving FF away from the FFIV formula.
ActRaiser 2 - Removed the half of ActRaiser that made the first one great.
Halo 3 - My first Halo game. Also the first FPS I had played since Goldeneye on the N64. Though the game wasn't bad, it didn't live up to the hype bandwagon that I had jumped onto before getting the game. I guess a story is never great if you jump onboard during the 3rd act.