Hiya. First post here, not that anyone asked.
Looking back, I don't really recall a whole lotta games I've played disappointing me terribly. The closest thing I can think of are Metal Gear Solids 2 and 3, although I heard enough stridently negative things about those games to keep disappointments at bay. I went into Halo thinking it was going to have a better single player experience.
Most games to fill my disappointment gauge would have to be some of those games I thought was simply pretty good instead of the amazing titles I thought they would be going into to them. The first time I was disappointed by a game was Chrono Trigger over 15 years ago (sidenote: you haven't lived until you encounter a raging Chrono fanboy who can't possibly comprehend that your opinions, experiences and tastes might somewhat differ from his). Other games include Contra III, Perfect Dark, Final Fantasy X, GTA: San Andreas, Devil May Cry 3, Assassin's Creed, and most recently Assassin's Creed III. Among others. Like I said, pretty good, but not amazing.