Bullseye being built up as the guy to watch out for in Thunderbolts and then one/two he's down for the count between Songbird and American Eagle.
Heroes Reborn Iron Man spending ten issues building up The Mandarin as this scary something, sometimes he's an evil old asian dude, sometimes he's dragon, he's running Hydra, he's insane, he's powerful, he's... Victor von Doom using the Mandarin identity as a front to act without drawing attention to himself.
Phoenix is scary in New X-Men. It's big. It's massively powerful and it kills infections. But, by the end, the Phoenix entity is only helping.
Dr Strange chasing after Eternity, he must talk to Eternity, seek Eternity's help. And then Eternity's all, "I am Eternity. Handle your own problems." And it's amazing.
What're your favorite (or least fave) bait and switches? When the comic seems to be building up to a particular reveal and does something else, or it presents us a clear, obvious mastermind who, in the end, is not the power behind it all?