Whoa…stop reading my mind! I was going to say that. (Although I live in Canada where we don’t have “state” fairs.)
The coating also disappoints me.
I’ll go a little more upscale: Risotto. It hardly ever tastes as good as the menu has you believe.
Yes! I get such high hopes…
I feel that way about Polenta.
Fast cars. After getting a sport bike, it’s hard for a car to excite me from stomping the gas anymore. I’ve currently got a Cobra that should run low 11’s or high 12’s, but it has nowhere near the pull of my stock 600cc bike. That bike is also starting to feel kind of sluggish…
Ballpark nachos with jalapenos. I get to craving these any time we’re at some venue (like a concert) and they never taste as good as my memory believes. They’re always crappy chips and worse cheese… why do I eat these things?
Cream of wheat. When I have a craving for it, I recall the magical, generously-sugared and buttered creation that my mother would make when I was a kid. Now when I make it, it tastes like crap.
Also, a 20-ounce bottle of soda is never as good I think it’s going to be. Like Coke. It’s always so “strong” (for lack of a better word) that it doesn’t quinch the thirst. And yet Coke from the fountain = nectar from the gods. I never can seem to remember that when I’m standing at the vending machine.
I crave an alcohol beverage that is the perfect balance of sweet sour and fruity without that nasty synthetic maraschino cherry and commercial sour mix taste.
I crave the perfect cup of coffee, light and creamy, lightly sweet. No bitterness. No burnt bark undertaste. And no cholesterol or sugar … 
Claude, whenever my wife and I drive to the St Louis area to visit my mom (about three times a year) I always threaten to go to White Castle and get a bag of belly bombers while we’re in town, but it never happens. When we were back there for Christmas, I decided to stop and get some for lunch before we left town. It was disappointing. I guess White Castle’s just not the same if you don’t already have a few beers in you.
Anal sex.
I’ll second that - we saw “Red” a couple of weekends ago, and it was just pure fun. It had me wondering how it’s possible for Bruce Willis to be getting BETTER looking as he ages. 
Now I’m hungry for a fried egg with crispy bits at the edge.
Fast food is usually in this category - it smells so good, and the commercials make it look so good, then you get this…thing on your tray. I hate, HATE wasting good calories on crappy burgers and cold fries.
On the other hand, if the McDonald’s fries are fresh out of the grease, they don’t disappoint at all - those are some tasty fries.
Tiramisu. At the Siebenstern Brauerie (Seven Star Brewery) in Vienna, I had some that was, literally, the best thing I have ever had in my mouth. Everywhere else is pretty good, but nothing to get super excited about.
Duck at Chinese restraunts. Same deal, Cathay Post in Denver had awesome almond duck. Duck everywhere else has been disappointing, even when it was pretty good. Cathay Post was in the heart of the old skid row, and went away when LoDo got gentrified.
Cinnamon flavored coffee. I love cinnamon. I love coffee. I love the smell of cinnamon flavored coffee. And it always tastes like CRAP!
Oh, same. Except I’ve never had them. I think people have mentioned they’re not that good, but damned if I don’t want one whenever I’m standing by a nut cart.
ETA: Why does the word “nut cart” look so damned dirty? It’s the “cart” part, isn’t it?
I’ve noticed the same thing here in Australia with imported beers too… something like Tiger tasted really, really nice when I was in Singapore and Malaysia, but when I buy the same stuff from the bottle shops here, it’s terrible and bitter. Sam Adams was the same, too… really nice in the US, awful and bitter and malty when I’ve had it here.
There’s an Asian “Onion Ring” snack that seems to be like Cheezels but with onion flavouring (and in the shape or large rings instead of tubes) that you can get in the Asian foods section of supermarkets here- except it has no onion taste at all. And yet I still occasionally buy it on the offchance that the previous bags I’ve had were from a bad batch. Nope, they’re snacky corn/onion rings that manage not to taste of onion. 
Liver and onions.
I never liked them as a kid, but the smell is AMAZING and I crave it regularly.
I still don’t like to actually eat it, though, apparantly.
But my gods, the amazing smell…
Certain kinds of cheap candy fall into this category. About every 2-3 years I get a craving for Circus Peanuts. After taking one bite I throw away the rest. Same with candy corn.
On the other hand, I always think sugar-free candy is going to be at least tolerable. It never is.
Computer Adventure Games.
I want to relive the excitement and humour of the LucasArts games of the 90s, and instead I get either brave attempts that just don’t cut it, or something so modernised and multi-dimensional it misses the point of what makes a game fun.
There is a sexual position, “the nut cart”.
Anchovies and capers. For some reason I’ve got the idea that I like them in pizzas or salads, so I include them. After one taste I regret it.
And green olives. I keep having to remind myself that I don’t like them.
I almost never (like, once every couple of years) eat fast food, and every single time I do decide I just *need *some, it makes me feel like absolute shit for approximately the next six hours. Every, single time. But sometimes I just *need *terrible, deep-fried food. Sigh.