Borderlands. Anyone who has ever played Borderlands knows that it has the single most anti-climactic, poorly thought out, dreadfully executed finale in the history of games. Seriously, I've played a lot of games with poor endings, including most of the ones listed in this thread. Nothing compares to the massive disappointment inflicted by the ending to the otherwise marvelous Borderlands.
Just for the record, I think Fallout 3's ending wasn't so much bad as it was an inconvenience. The events that transpire bring the story to an emotional end and do bring a sense of finality and closure. In a more linear game, it wouldn't have been considered a bad ending at all. But Fallout 3 plays like an open-ended game right up 'till those last few seconds, and then it ends and you have to reload a save to go do other stuff. I think that's what disappointed people most, not the ending itself.
Of course, all of that is remedied by simply installing Broken Steel.