The first one that springs to mind is a recent one: Sting's return to TNA this past Thursday. It may have been the most completely lackluster return I've seen for a wrestler in my lifetime.
TNA was doing the whole 1-3-13 videos and all that. They hyped Sting's return for a few weeks, and throughout the show last Thursday. I think everyone was expecting some big event, Sting coming out for a big segment in which he'd address some things before maybe getting down to business, he'd bask in the glow of the adulation of the fans, etc. Instead, all we got was Sting just strolling down to the ring with his baseball bat on his shoulder wearing his tights and a t-shirt. He gave a few whacks to Aces & Eights and that was pretty much it.
It just seemed like a pretty decent amount of build but with a ho hum payoff. Sting just came out there like he hadn't been gone from TNA for a while. It just didn't work out in my eyes. He's back now, of course, but I thought the point of hyping a big return was to actually have a big return.