Not bothering to read the thread so that my POV doesn't get lost in my reactions to what other people have said. These are all "big disappointments" rather than "worst games", really:
1) Spore - it looked awesome and then we got something cutesy and surprisingly shallow. Loved the cell stage, but found the WoW-lite second stage pretty dull and couldn't convince myself to get through the tribal stage at all. Fortunately I was using the third of somebodies DRM-limited installs and never spent any money on it myself :P
2) World of Warcraft - I loved Warcraft 3 and figured some sort of story-driven RPG in the world would be great. Instead I got my first real exposure to grinding and fetch quests without end. I'd played Baldur's Gate on the Gamecube and some other RPGs before, but the story-driven progression kept them interesting enough, but I'm not a big RPG fan, all told, so I lost interest quickly, never played another MMO since. Fortunately it was my brother's game so I didn't need to waste any of my own money on it.
3) Some Bionicle game on the PS2 - I was young enough to think the Lego models were pretty cool and I enjoyed making the models (and other Lego stuff), plus the story line, televised adverts and other stuff appealed to me. Then I played this game. To say they wasted a good premise and concept is a strong understatement, in my book. A short series of linear "challenges", with no actual combat past glorified ping pong with "magic". If ever I wanted an in-depth RPG, this was probably it. Didn't get it, finished it in about 3 hours and sold it ASAP... Made most of my money back, IIRC.
4) Duke Nukem Forever - I imagine this will crop up a lot, in this thread. In my mind this isn't a bad game. It is, however, a massive disappointment, but it took me playing through Duke Nukem 3D: Megaton Edition last month to realise why. Duke 3D Megaton Edition (with the notable exception of Nuclear Winter) has fantastic level design. Truly spectacular in fact. Probably the best z-axis usage in a game and now that Duke 3D has a control scheme much like any other FPS in an easily accessible package, I got to really enjoy that. DNF is entirely linear, largely flat and very set-piece oriented. It's like CoD reskinned as Duke Nukem. It also has painful loading times on the Xbox 360. Otherwise it's reasonably fun and amusing enough. I do plan to get through it on Insane one day, but whether I actually do it or not...
5) Midnight Club and TimeSplitters - these two both disappointed me for the same reason, hence the joint mention. MC2 and TS2 are some of the most fun I've ever had on the PS2. These two originals show how much those games had to evolve to be good, as they are both quite dull and slow compared to their sequels (which I got first) - naturally, these two both got sold almost as soon as I'd realise my error.
6) Forza Horizon, Midnight Club: LA and the latest Need for Speed titles (I don't own any new NFS, but I've seen enough to validate this complaint) - why, oh why, do modern, console-based racers not have split-screen? Forza 3 and 4 have it! The PS2 MC and NFS games have it, so why not the Xbox 360 ones? I can live with the number of players being limited to 2 when split-screen is there (although Nintendo at least understand that 4 is really the way to go), but not having it all seems inexcusable. These otherwise good games missing one vital feature just seems stupid to me.
7) NFS: Carbon - The game that finally put me off of Need For Speed titles for good. I liked 2, 3: Most Wanted, Porsche, Underground and Underground 2. I kind of enjoyed Most Wanted (not the same as 3, oddly) but never bothered getting too far into it. Carbon was when I realised these games were getting creatively bankrupt and just being pushed out yearly because people will buy them - possibly the first time I'd seen the thing that killed Guitar Hero (and makes CoD purchases for me very difficult to justify) in action.
8) Worms 3D - I love the 2D Worms games. They did not translate well into 3D at all. The franchise ended with World Party for me, as that's all the worms I'll ever need.
I think that's all of the major gaming disappointments I've experienced in my time. Probably at least one I've missed, but still, who needs a giant list from me, really?