Psychonauts. Already mentioned, but I think it's a good example. All the levels up to Lungfishopolis feel like warm-up stages (mostly since you're only there to learn a new move). Waterloo and Black Velvetopia were also very disappointing stages, but anything that comes after the hilarity of Boyd the milkman is destined to feel half-assed. I was really disappointed to see that you never go back to any of the old stages to deal with Razputin's personal problems, go into Dogen's mind (a Teletubby-esque place perhaps?). I thought for sure his mind would be a level because in the beginning of the game when if you kill the squirrels he acts traumatized. The biggest WTF for me was the fact that you didn't do anything at all about
Ratchet & Clank: Going Commando. You find out that Abercrombie Fizzwidget was
At least one more level would have been sufficient enough to make the game feel complete.
Metal Gear Solid 2. It would have helped the storyline if they hadn't totally shit on it before and after the final boss battle. There's about 20 hours worth of plot twists (not that any of them were any good) packed into a pair of movies, where the cast conveniently assembles to make drama and die. Here's what the ending sounded like to me (spoilers, but since the story blows there's noting to spoil):
Jam it back in, in the dark.