I always research into where we are travelling so I have never been utterly disappointed but there are place I wouldn't want to go back...
Singapore
Adelaide, Sydney, Melbourne
Brussels (been there twice, horrible weather, everything looked dark and dull)
Cologne (so disappointed I am still angry about it)
Cadiz (very sad atmosphere, run down and dirty)
Then there are disappointing places I do not want to go back to... Although sometimes you have to go back (work, friends, etc.)
Barcelona (I hate it, theatrical-touristy set; lost its authenticity in the mid 90s. Though I liked the BCN of my childhood)
Córdoba (this is irrational, like the patios but not the cathedral area)
Paris (a bit like Barcelona, however cannot say if it's been like this all the time or also lost its soul at some point in the past)
Rome (dirty and hot; once is enough)
Milan (only good for shopping)
Lisbon (I've tried to love it but cannot)
Athens (hot and run down, although the new museums area is almost nice)
I went to New York, Boston, Buenos Aires, Istanbul, Prague, Copenhagen, St Petersburg and Tallinn with low expectations, but loved them and would go back immediately.
I love:
Stockholm
Dubrovnik
Verona
Parma
Trieste
Dresde
Aachen
And, nearer my heart:
London
Edinburgh
Belfast
Liverpool
Madrid
Valencia
Murcia
Seville
Santander
And some lovely villages in Northern Spain, like Comillas, Santillana del Mar, Zarautz, Hondarribia, etc.