Depends on what you mean. For this generation, I'd say I haven't had the misfortune of experiencing any great disappointments.
For the previous generation, it was Xenosaga 2, hands down. A game so bad that it pre-emptively ended the series. Even if that's not technically true, it sure feels like it.
For the 32-bit generation, Final Fantasy IX. I do not get why some people like that game, and probably never will. To me, it was a load-time-laden, rumor-mill-loaded, over-hyped game that couldn't ever meet up to the hype.
For the 16-bit generation, it would be that I never got to own any of the 16-bit consoles until well into the 32-bit generation.
For the 8-bit era, that's no challenge: Battletoads. That game pissed me off so much as a kid...
Sky Render - Sanity is for the weak.
