A bunch, yet for some reason I keep them around.
Games I really regret:
The Elder Scrolls: Oblivion - I gave up on this game only a few hours in. The guards start chasing after you for the tiniest of things, leading to either death or jail. Yeah, you can steal a horse and ride away, but don't you dare get off the thing or it'll run away! For a game all about exploration and freedom, it sure spent enough time harassing me. Eh, I mainly bought it to show off my brand new PC at the time anyway.
God of War: Chains of Olympus - It's basically a shorter, uglier, stripped down version of its console brethren, with gimped controls due to the lack of a second analog stick and only two shoulder buttons. A better name would've been God of War Lite. They should've tried to do something different with the series ala Killzone: Liberation rather than simply try to shoehorn a console game onto a handheld.
Jak X: Combat Racing - The Jak games are some of my favorite on the ps2, but this attempt to turn the franchise into an arcade racer didn't go so well.
Korg DS-10 - I know it's not really a game, but I regret buying it for DS because the sequencer was far more limited than I thought when reading about it online. On top of that, they announced the DS-10+ right after I bought it. =/
Madworld - Bought it on launch day and didn't get into it at all. I really don't know why I bothered.
No More Heroes - It's a button masher that replaces button spamming with waggle. The style is great and the bosses are hilarious, but it's a chore having to grind through dozens of enemies to get to each boss, doing little more than *swing, swing, swing, A*.
Rogue Galaxy - Random battles in a real time action RPG? Wtf? And on top of that, save points were often few and far between. Seeing the game over screen after spending over an hour trying to get through a dungeon sucks! The story was typical Level 5 nonsensicalness too.
Games I kinda regret:
Dragonball Z: Budokai 2 - I had an itch for Dragonball and bought this on a whim. Never really got into it, but it was cheap, so eh.
Resistance 2 - The singleplayer was pretty enjoyable, but it lost much of what made the original Resistance what it is. The multiplayer was a chaotic mess that wasn't even worth ten minutes of my time. Overall, the game just felt rushed. They were trying to do way too much (60 player online, separate 8 player coop campaign) in far too little time (<2 year dev time). I'm still kinda glad I have it though, if only to bridge the story between 1 and a hopefully much improved 3.
Way of the Samurai 2 - A let down compared to the first. The game was stretched out for too long, artificially inflating the story with "jobs" you would do between story events. The first game was rather short, but the story and atmosphere brought everything together nicely, and given the game's branching story paths, it had excellent replayability. The sequel had the same basic gameplay design, but they somehow made it far less fun.
Way of the Samurai 3 - See above, only now they have you looking for an old lady's underwear! Should've learned my lesson with the second. Still a fun romp, though, when I'm out of things to play.
World Destruction League: Thunder Tanks - Made by 3D0, it was supposed to be the successor to Battletanx on ps2. The game had its fun parts, but the tank controls were changed for the worse, and many of the best modes from Battletanx and Battletanx: Global Assault were removed.
Aside from those, I've been generally pleased with my game purchases. I usually only buy games I really want to buy, and usually know plenty about them going into the purchase.