I can't recall ever being disappointed by a DOS game. Sure, Wetlands was an awful game, possibly the worst I ever bought, but I barely paid anything for it and didn't anticipate the game or anything.
In any case, here are my major game disappointments.
Metal Gear Solid 2
I consider the first MGS to be among my PS1 favorites, but this game ruined everything, except for the very impressive graphics. But the story went bonkers, the main character isn't Snake but some uninteresting dude and the "game" have so many cutscenes it's more like a movie rather than a game.
Hitman 2: Silent Assassin
My least favorite of the Hitman series. I enjoyed the first game greatly and looked forward to this a great deal, I especially liked that the official website had a bunch of information about the past of 47. Naturally, I expected the game to expand upon this a great deal, but there was nothing about that. The information on the official website had nothing to do with the game. Most of the levels were also boring, as they were just military levels and not civilian levels. Hitman should be in public locations like hotels, resturants and so on, not some military complex.
Deus Ex: Invisible War
On it's own it's certainly not a bad game, but it remains a bad Deus Ex game. I don't think there is anyone who played the first game first, and then liked this game more.
Half-Life 2
The first HL was fun for me mainly because of two reasons. The secret high-security lab complex Black Mesa, which reminded me of a nuclear plant I used to work at, and it was the first shooter I played where there truly were more than just the player vs meanies. There were both the aliens and the marine, and if you were clever about it at some locations, they could do all the fighting for you. The sequel was instead in a ruin, and I don't like ruins as a game location so that's bad. And thru the whole game it's just us vs them, there is no longer any 3rd faction. And an added thing I found very annoying is how everyone bloody worships Gordon Freeman.
All of these are the second game of a series, heh.