Is it really about games you're embarrassed for having bought, or just games that you felt were a waste of money?
Well, either way:
Space Hack. Yeah, it's old, and I got it free, but the controls are terrible. I played for 19 minutes and I was done.
StarDrive. Does some concepts well but the interface is terrible. Like, really terrible. It's really hard for me to justify games in popular genres (like space 4X) that take steps backward from older, popular games that did things well. Why are icons on the galaxy map so tiny? Why is it so hard to select anything? Why is rushing production from the owned system list so buggy? Why is creating drag-dropping ships into the fleet designer so aggravating?
Fallen Enchantress: Legendary Heroes. Ohgodwhy, another example of failing to live up to its predecessors. I've said it before, I'll say it again: I really hope Kael didn't kill his career trying to save this title. LH is better than FE's release but it's still shit compared to FFH or AoW or any of the classic magic-civ games.
99 Levels to Hell. Expected an imperfect Binding of Isaac, got bupkis. 8 hours to beat it and 0 replayability.
Echo Prime. It's pretty, at least, but simple. It's a phone game ported to PC (if it isn't it sure as hell feels like it), complete with "social" integration in liking friends in order to get access to their powers. I don't remember if it went as far as integrating with Facebook. It could've been something better if it was more like an actual sci-fi/tech ARPG - a Darkspore that didn't suck, for example - but levels are just a left->right hallway for 3 sections of 3ish screens each. It's definitely not worth $10, not even if you like grinding.
3079, 3089. Ohgodwhy. These should never have been put for sale; they're tech demos at best, attempts to make a kind of procedural FPS-ARPG but they're extremely limited in scope.
Forge. I admit, I'll totally take the fall for this one. I expected an ARPG but should've read the page better; it's actually a arena deathmatch game set in fantasy. If you remember the mod, think Future vs Fantasy for Quake, except Fantasy only and with better interface. I actually paid full price for it and its since gone free to play and, I presume, is slowly dying. Last time I tried to actually play I couldn't find any servers with players.
Platformines. Okay concept, terrible execution. It's just a grind. 3 hours to "beat" the game, no story to speak of, no challenge that isn't 'cheap', no reason to play through on harder difficulties.
Reus. Actually one of the few games in this list that I'm not going to shit on. I really want to like it and play more, it's a lovely game, but I have trouble playing it. I can't seem to grasp, or commit to memory, the various synergies, what grows into what, or even how to unlock some of the growth stages of some of the resources (presuming it isn't just tied to the achievement/goal system), and I don't want to rely on spoilers.
Salvation Prophecy. Ohgodwhy. Shallow and terrible, both in terms of interface and execution. This concept would totally work with enough budget and polish behind it, but Salvation Prophecy itself falls far short of that mark.
Typing of the Dead: Overkill. Haha, what? I don't know why I got this. Into the bin it goes.
Gemini Wars. Released in 2012 but still somehow suffers from unskippable cutscenes. I should actually say "cutscene" because I never got past the intro movie - I can't even tab out of it! For various stability reasons I never actually got through that intro movie and after (apparently) 10 minutes of trying on various days, I just gave up. If you're a developer, for the love of God, please make sure you are never this dumb. I'll totally admit I'm being an extremely petty consumer right now - I wanna play! I wanna play rite NAOW! I dun care abut storee!!! - and I can't even comment on the gameplay... but as it stands, I never will.
A-bunch-of-puzzle-games-that-I-never-actually-play. Examples includes EDGE, Rush, Toki Tori (also a couple shooters like Hexodius and Geometry Wars). While I got these all for cheap and, from what little I played of them, they're all quite quality games, the issue is that if I'm at my PC and want to play a game, I'm going to want to play something with a little more meat to it - especially if it's something that has actual load times, that I can't just jump in to in less than a minute (Binding of Isaac and Risk of Rain are examples of simple games that I can jump in to with little investment). I wish I could somehow port these over to my PSP.
Starbound: yeah, I went there (but please, let us not co-op this thread into shitting on Starbound). To be fair, I bought this on promise, but given their recent shenanigans I plan to completely ignore it for a year or two and then check back once its released/well-fleshed out with mods.