A couple of things I got were just my fault for not understanding how they worked. I got a infra-red wireless nes advantage type controller I was sure I could hook up to my C-64 (I didn't even own a NES as a kid), I think I figured the serial type jack on the C-64 looked similar in my memory to the one on the NES, when it's obviously pretty different in all regards. I found out at some point that ColecoVision (which I had), C64, and Genesis were all compatible controller wise, so that may have fed into my delusion.
Another time I got Sorcerer's Apprentice for the Atari 5200. I only had a 2600 (Well, through the Coleco adapter) and I guess I didn't even know the 5200 was at the time. Figured it out when I got the huge cartridge out of the box that would in no way fit into my system. Got it like dirt cheap during the video game crash years at like a drugstore or something so it wasn't a big deal.
Games that disappointed me over the years.... GB: Alleyway, Dr. Mario. TG-16/Duo: SimEarth (returned that to the store!), Space Harrier, Double Dungeons. Saturn: Quo Vadis. In general I was a pretty content kid/teen with my stuff though.