Yeah, it's just disappointing as a world. Technically, it's got a lot of quality, but expectations were huge and it didn't come anywhere near to matching them.
Mass Effect 3
GTA 4
Yoshi's Island
Teenage Mutant Ninja Turtles - Nes (admittedly only my own boyhood idiocy had hyped this game into probably being the best thing ever made, when it was just another crappy licensed game)
Terminator 2: Judgement Day - Gameboy (see turtles reason)
Getting 5 is tricky as I don't usually hype too many games but:
Mass Effect 3. After the intro to the universe ME1 and the perfection of ME2, this just didn't do enough to make me love it as much as the rest of the series. And that ending!
All Metal Gears. I've really wanted to like these games. I've played 1, Twin Snakes, 4 and now 5 and typically don't get far as I think there is a disconnect between what I want to do and the controls. The button mapping is shite, the insta death for some levels but not all is inconsistent and I just fucking hate stealth tbh.
Zelda. I've been waiting for "that" Zelda since seeing it at E3, how long ago was it? Years anyway and what they are releasing isn't what they sold me on. I'm sure I'll enjoy it, but talk about bait and switch.
EDIT - SMW3D. After the wonder of Galaxy this just didn't do it for me. I've heard that the game doesn't really start until you've got to the end of normal, but I couldn't be arsed to get there.
Can't think of anymore, but my future self just visited to say add No Man's Sky to the list.