I can think of a couple...
Black & White- I kept thinking that at some stage I could be a God and not an errand boy for my creature/pathetic people. I was wrong. The game ended and I was so furious that I ended up buying the expansion and the sequel! Take THAT, Molineux!
Halo- The first one. I bought it simply to see what all the hub-ub was about. As the credits rolled, all I could think of was "Well, that was FUN! Now where's my Battlefield 1942"?
Empire: Total War- I love the Total War series. I started playing waaaaaaaay back when Shogun came out, and I have the entire series, expansions included. So why the hell did Empire make want to curl up in a corner and cry manly tears?
Ka-51: Team Aligator- Team Apache was a hell of a lot of fun. This sequel took that game, beat the fun out of it with a stick, and then calls you names while you're playing it (but not really).
Freelancer- Starlancer is my favourite space sim EVER... so imagine my dispointment when the sequel to this brilliant, linear military, Cold War-in-SPACE! extravaganza was a poor copy of every free-flight space game in existence. It didn't help that the sleek fighters of the first game were replaced with some of the absolute worst spaceship designs I've ever seen this side of EVE Online.