FF12. Started well, got me really interested, but then by about 10 hours in I'd been captured 3 times, the combat was starting to bore me, the summons were shit, the bosses were insanely hard, the minigames were crap, the plot completely lost me and I had no idea where I was supposed to be going or why I was going there and why I couldn't just fly there (I had had a perfectly usable airship not half an hour ago).
Game still makes me rage just thinking about it.
Then there's the first Assassins Creed. I don't need to explain this one; just go watch Yahtzees review of it, because I swear my opinion is identical to it in every way.
Finally there's Ico. Yes, I know what an incredible game it is, how unique it is, and how it's about as close to art as a game has ever been and I enjoyed it for the first few hours, but the damn shadow monsters and the awful combat just filled me with a constant dread that I could never shake. I just KNEW that if I completed the next puzzle, a dozen monsters would appear and I'd have to hit them with the slowest moving, most innefective attack over and over and over and over and over and GAHH! Just, no!
Yeah, these 3 games are the only ones I know of that I really enjoyed to start with, but later just either made me utter rage filled or just made me feel depressed about playing.