For me, it had to be Super Mario Sunshine and Wind Waker. I don't understand how a series can go from being the extreme top of its class -- and indeed, the top of the entire industry -- to being barely on the radar as far as fun games are concerned. I knew after Super Mario 64 and Ocarina of Time were released, their next-generation sequels weren't going to be as innovative, surprising, or thrilling as their Nintendo 64 counterparts. On the other hand, I thought they'd at least be very fun games, but Super Mario Sunshine and Wind Waker just weren't.
Other than those two, I was also disappointed by the new Rygar. Rygar was one of my favorite arcade games, so I thought the PlayStation 2 sequel would be great, but it was pretty boring.
Final Fantasy X was a disappointment. Man, I used to like Final Fantasy, but the tenth one totally turned me off to the series. It's difficult to even care what they make with the series in the future. Crystal Chronicles was a huge letdown, too.
I thought Advance Wars 2 wasn't as good as it could have been, either. It was a very fun game, but very, very little was added over the first one. Calling it a sequel is stretching the truth.
Metroid Fusion was a huge disappointment. Grr. I'm still irritated by how good that game could've been but wasn't.
Sword of Mana was a boring crock of shit. How Square and Nintendo let that one out of the door is beyond me.
Splinter Cell wasn't very fun, although other people seemed to like it. I thought it was boring, and I thought the control scheme was illogical.