Let's see:
I suppose Pokemon. Only if you count finally getting all the Pokemon as the end. You go to the designer and you're expecting some kind of super rare Pokemon like Mew or something and all he does is show you some certificate saying you did. Needless to say I was pretty pissed.
Shadow the Hedgehog was pretty bad. You go through all the endings, and once you get to the last one, finally expecting to get the real ending. And at the end he basically says, "I am Shadow and I DON'T GIVE A SHIT ABOUT MY PAST AND NEITHER SHOULD YOU!!". The end.
The one that really sticks out in my mind though is Little Big Planet. You beat the giant robot thing at the end, he runs away and you're thinking there's going to be one ore really huge, epic fight, but then it turns out all he wanted was friends, but then the king pops out and says "Everyone can be your friend!" Yay! friendship and happiness for everyone!!! This is bad enough but when you're at this point expecting an even more epic fight this just sucked. Worst ending ever.