If I could name all the crappy games I bought and then never wanted to play again, I could probably fill a 50-page forum topic just by myself. For the sake of brevity (and for keeping things current), I'll name The King of Fighters XII, Cross Edge and Mugen Souls as my three most recent "regretful" purchasing decisions.
KOF XII: As the first new KOF game for the PS3, I was excited for this game because I really liked KOF XI. When I started playing it, however, I found that almost half the characters from the previous game weren't in this one (and many of the ones who got cut were part of themed teams), the arcade mode was just a time trial with no unique cutscenes and no end boss, and the online netcode trapped me on the loading screen for up to 5 minutes without actually loading a match or an error message telling me that the game couldn't find a match. After playing through the game about three times and realizing that I wasn't having any fun with it, I gave up and traded the game back to GameStop for something else.
Cross Edge: A Disgaea, Atelier, Ar Tonelico and Darkstalkers crossover RPG? Sounds cool! Shame about the sudden difficulty spike after you reach the second or third area, the unfitting side-scrolling sections, or the fact that I had to jam on the Square button to discover towns and activate cutscenes (I didn't like it when Wild Arms 2 and 3 did that, either, but I found both games enjoyable despite that annoyance).
Mugen Souls: This one's my own fault, because I bought this a full year after skimming through negative impressions on the game. Using Chou-chou's Moe Kill system instead of defeating enemies the normal way meant having to spend several turns telling my non-Chou-chou party members to stand and do nothing if I wanted to clear the battlefield and get everything over with quickly. Chou-chou's "Command mode" (I forget what it was actually called) was unreliable, as she'd often shout out demands that were impossible for certain party members to do, and failure means angering her and increasing the threat of an explosive Shampuru-induced total party kill. And Compile Heart's PS3 games are usually nuts about downloadable content, but some of the weapons that were being given away for free completely broke the game balance. I usually don't like to complain about getting stuff for free, but when I found out that one of the free DLC swords gave my characters a 20,000-point attack bonus (I think ATK ratings started out at around three digits), I worried that the reason these swords were being given away at no charge was because the late game enemies would become a nightmare to defeat without using them, or spending time grinding for EXP in the Mugen Fields. I never made it that far, and I stopped playing right after defeating the second major storyline boss.
Dishonorable Mention: Valhalla Knights 2, but I never really expected that game to be any good, anyway.