Halo 3: ODST was such a huge wasted opportunity. I loved the atmosphere they achieved in New Mombasa, the music, the visuals, the mood while exploring the city, but there was shit all to do in it. Sure, there were Sadie's logs and some easter eggs, but the whole setting seemed underused.
The gameplay, too. For all its subtle differences, it was too similar to your usual Halo. Now, I understand they didn't want to alienate the user base, but there was a big opportunity to go in more of a, say, Deus Ex direction, to flesh it out more and make it feel more distinct. Exploratory parts of the game didn't feel rewarding enough, and they clashed with the flashback sequences which played practically like every other Halo game out there. And why did all the characters play exactly the same? There was a big disconnect between the cutscenes where they tried really hard to distinguish the different members of the team (they only partially succeeded, in my opinion), and the flashback portions in which you got to play each of them only to discover that they all felt more or less identical. The Superintendent AI was also grossly underutilized, especially considering how prominently it was featured in the game's marketing campaign.
In fact, I'd say that the setting and the story potential in all Halo games remains underused. There are so many small things they could do to make the world seem more alive, bits and pieces of background information they could scatter around for those willing to look for them (and hell, even in the menus and loading screens, why not?). A good RPG developer could do wonders with the setting. And don't force this ridiculous overemotional stuff on us, flesh out the world more, give characters more identity in the gameplay portions - not cutscenes - and the emotions will follow naturally. Play Half-Life 2, developers, it came out way back in 2004, for Christ's sake.