Oh, really what hasn't been a disappointment? I can think of a few, out of my many games rented and purchased, that I don't regret paying money for:
- Okami: rented for Wii. It was fun, and I'm glad I only rented it. I did the same with Mario Galaxy, which I also enjoyed, but I also completed it in a few days. I felt cheated that the game didn't even last a whole rental period.
- Shadow of the Colossus: rented and purchased. I still get a kick out of it about once a year. It prompted me to get Ico, which I enjoy greatly, but not enough for the price I paid.
- Siren for PS2: I bought it used for, I think $7. Pretty fun and a great bargain. The disc was irreparably scratched, but that only affected some cutscenes later in the game. I think I don't regret this because it was so damned cheap.
- Final Fantasy XI: This is tough, because for a year or two I loved playing it, and the one or two expansions I bought were fun, too. I didn't mind paying monthly for it at all. Later, as I moved on, I still had a subscription but wasn't playing as much. I only felt cheated for the last few months.
- Fallout 3: Another toughie. I find I'm having a very hard time getting into the game, as if I have a choice between Fallout 3 and something else I'll pick the other game, and so I kind of regret paying so much for it. But also every time I do play I'm totally engrossed and having more fun than I ever did in any other FPS, RPG, or Bethesda FPS-RPG-mashup. I'll say I regret not waiting for the price to drop a bit.
- Any Metal Gear Solid game: I'm a sucker for them. Even MGS4, although depressingly short in gameplay, was satisfying by its other merits.
And that's it really. Anything released pre-2000 I consider painted by nostalgia, and my judgement will be biased. Besides those, I haven't bought a game since the Starcraft Warchest that I haven't regretted the decision. Few games I have are bad; since I buy so rarely I can't afford to get a game I'm not absolutely sure I'll love. But, most of them still aren't worth $20, much less $50 or $60. Video game price points are way too skewed right now. Even World of Goo, that I got for $10, cost too much for what it offered.
Here's a stab at most of the games I feel in some way cheated by so you can see where I'm coming from, all post-2000, mostly by series: GTA, Hitman, Myst, Elder Scrolls, Final Fantasy, Star Ocean, SaGa, Sims, Sim City, Command and Conquer (and Red Alert), Warcraft (not WoW, never played it), Diablo, Dungeon Siege, Jak, any Tom Clancy game (Splinter Cell, Rainbow Six, Ghost Recon, etc), X series, Dawn of War, Space Empires, Black and White, any Star Wars game, Homeworld, Earth 20-whatever series, Halo, Far Cry, Half Life (and CS, TF2), Spore, Bioshock, Pirates!, Sins of a Solar Empire, Mass Effect, any sports or racing games, any licensed IP games like movie or anime tie-ins (including Kingdom Hearts), many, many dime-a-dozen one-offs like Black, Crimson Skies, or Doom 3 (yeah, it was a generic FPS with Doom skins), too many rentals to remember, and so on.