1. Dreamfall: The Longest Journey Collector's Edition
I mainly bought this cause of The Longest Journey. I was a huge fan of TLJ but found myself immensely disappointed by Dreamfall. Long story short, I ended up selling the game itself and kept the goodies. Not sure where they are atm but probably somewhere.
2. Into the Dark
It tries to sell itself as a "so bad it's good" game but it's just bad. Janky programming and douchy developers who tries to excuse the lack of polish as an intentional style. Stay away.
3. Aliens: Colonial Marines Collector's Edition
Needs no explanation. While I didn't hate the game entirely, in fact I enjoyed a lot of it, it was still disappointing compared to what I was expecting. That being said the goodies that came with it such as the Powerloader statue, the patches and other nice stuff was really cool. Still not worth what I paid for it though.
4. Ghost in the Shell Stand Alone Complex - First Assault Online
An online FPS set in the Ghost in the Shell universe shouldn't be that hard to sell and it wasn't. But holy shit, this game is janky as f***. And the amount of hackers is insane too. Not recommended.
5. Defiance
It later went free to play I think, but this MMO shooter is probably one of the most disappointing experiences I've had. Tied in with a mediocre TV show the game feels like a bland ripoff of Borderlands with less likeable characters. And some weird censorship going on, using "shtaco" instead of shit etc. Huge amount of glitches and just all around not very fun. Definitely regret paying for it.
Those are probably the only games I regret paying money for.