Most recently? Tropico 5.
I felt it was a huge step down from Tropico 4 + Modern Times and I really didn't like the idea of progressing through eras much at all. The dynasty system was tacked on and the tech tree was almost useless. I adore T4 and as far as I'm concerned it was the last game made.
Over all? Hard to say, really. There are dozens of games I consider let-downs, but none really noteworthy. I would have to say Bioshock Infinite for basically being different than the Raputre series was...or Borderlands 2 because, i don't know, it just felt like I did it all before.
Minecraft is also up there. The level of hype I heard about it before trying it was monumental. I went in thinking it was a revolutionary game of infinite possibilities...and was sorely disappointed.