Nikopol, from the Be Mine Bundle, worst adventure game ever.
Seriously, after having to scour through 5 different guides to solve these fucking overly complicated puzzles and stopping an ancient egiptian god from conquering a dystopian, futuristic Paris (of all places in the wide world), all they could think about as a "proper ending" is a fucking monologue about "rotten flesh" and worms!??, WTF!??
I only payed $1 for the whole bundle and I still feel ripped off by this godawful piece of shit. I need to replay Broken Sword to take out this bad taste out of my mouth.
As for other media, Evangelion is the first thing that comes up to mind. Seriously, W T F. Saint Seiya's Hades saga takes an honorable mention, seriously, one single episode to fight against the god of the fucking underworld!??
For movies, I think I can certainly agree with The Departed, although a great movie, it's ending was... meh.