I don't think I've ever been extremely disappointed with any disk I've bought. However, I was fairly disappointed with these two:
Sonata Arctica - Winterheart's Guild: Too... happy and upbeat, I guess. It didn't grab me at all. Recently I've been listening to Ecliptica, though, and I like it far more, so I know it's not just Sonata Arctica's general sound.
Fates Warning - No Exit: The singer (John Arch?) is really pretty bad. Or at the very least, the melodies are quite random, in a bad way, and hard to get into. Also, it's too much metal, not enough prog, and I don't think I've ever heard worse production.
Also these, but not as much... these all have enough redeeming features that I probably wouldn't change my decision to buy them in retrospect:
Adagio - Sanctus Ignis (this one has since grown on me)
Demons & Wizards - Demons & Wizards
Iced Earth - Dark Saga
Star One - Space Metal