Not looking for the obvious things here: cheap cologne, socks, bad ties, fruitcakes, etc. Rather, what gift did you ask for and look forward to with great anticipation, only to receive it and find that it was a huge disappointment. It will probably be something from your childhood, but it doesn't have to be.
Mine was something I asked for and was given when I was 7-8 years old called VertiBird Air Police. The commericials made this thing look like a realistic adventure that would entertain for hours. When I got the thing, all it did was spin around-and-around in cirles suspended on the end of a wire. I don't think the commercials even revealed that a wire was involved, but rather implied that the helicopter flew on its own. Furthermore, I was never able to use the hook on the helicopter to pick up the car the bad guys were riding in, even though their car conveniently had a handle on it. Look carefully at the box below and you'll see what I'm talking about.
My mom tried to steer me away from this thing, but I would have none of that talk. This was one time it would have behooved me to listen to her. At least no one got an eye put out.
By the way, if any of you remember the VertiBird or care to, there's a site devoted to it that I ran across before I made this post: