I usually research the hell out of whatever I'm planning on buying so I have very few games I really regret. However, I do have two.
Grand Theft Auto 4: This started out as a good buy, but I eventually lost interest. If it hadn't been for the whole staying friends with everyone thing, I probably would have been able to finish it. As it was, I ended up trading it in for Prototype.
Auto Assault: Post-Apocalyptic mmo where people drive around shooting each other. How could you screw that up? With bad graphics, poor controls, bad servers, and very limited means to communicate with other players. A rare case where I fell for the hype. I couldn't even trade it in after I found it sucked. Nowadays, I make sure to either get into the beta or a free trial before signing up for an MMO. Lesson learned I guess.