Killzone 2 was overrated but it's a still a good game. When I owned it I didn't have PSN so I don't know about the online much.
MW2 didn't live up to the hype. When they can make a better storyline with better gameplay then I can accept it. The MP is always good but it gets boring after a few matches.
MGS4, now I didn't hate the game but I really didn't enjoy it as much as I thought I would. It was almost too boring. The damn cut scenes is what did it for me, it seems like it took up most of the game which sucks. I'm glad I didn't buy it new, and got it at a low used price. I didn't even finish it, I traded it in. This was my first MGS game ever, just wasn't my liking.
So all those games didn't live up to the hype.
Uncharted 2 lived up and surpassed. Before this game came out I got all my news through, "Infamous Gaming News" (lol no joke) this guy pressed this game so hard on this site about how great it was gonna be storyline/graphic wise yadda yadda yadda and it lives to what it was made to be by gamers/gaming sites.
Other than that, I'd have to think hard really about other games. Many games have fallen bad when hyped, just weren't good. Like Gears of War.