In most online multiplayer games, a player telling people that they are experiencing lag (usually clientside) is usually accused of making it up to excuse poor performance during the time where you rubber-banded.
In Arc Rise Fantasia, the party (and the player) is quick to jump to the conclusion that Rastan is Leon, which Rastan corrects at every opportunity. It comes as quite a shock that this was the truth all along, and it's a major headdesk moment when everyone realizes that Leon is actually Serge, who fits all the clues just as well as Rastan and hasn't been denying it all along. He's just not what anyone was expecting the legendary Lightning Leon to really be like.
In Atelier Escha & Logy: Alchemists of the Dusk Sky, Wilbell performs magic shows on the side for a little money. She says that it's real magic that she's using in the shows, which it is, but nobody believes her, because nobody believes in magicians, save those that Wilbell has specifically revealed the truth to.
In the Baldur's Gate II: Throne of Bhaal expansion of Baldur's Gate II, listen to Gromnir Il-Khan's paranoid ravings about Melissan. He's absolutely right about all of it. Too bad he's also been executing other Bhaalspawn under suspicion of betrayal and now everyone thinks he's gone mad.
This plays into the ending of The Breach: our hero has survived, but he's a nervous wreck locked in an insane asylum, and since he blew up the spaceship to destroy everything on it, he has no way of convincing anyone of what really happened, and no way to prevent the experiment from being replicated. Then he turns into a monster and apparently eats his psychiatrist. On camera. Well, at least that ought to put a stop to the experiment...
Chrono Trigger: After the Time Key gets stolen and you go find it, Azala asks you what it does. If you tell her, she doesn't believe you, saying if it were true, you wouldn't tell an enemy.
In Cookie Clicker, the news ticker mentions a scientist who becomes a laughingstock among his peers for predicting a cookie-related end of the world. His prediction turns out to be scarily accurate once the Grandmapocalypse is triggered, with the news ticker announcing reports of The End of the World as We Know It.
News: scientist predicts imminent cookie-related "end of the world"; becomes joke among peers.
Crysis 3: No one believes Prophet's warnings that the Ceph are back until it's too late.
Eternal Darkness: No, really. The darkness DOES come and will damn us all if nobody stops it, so may the rats eat your eyes for not listening to Max Roivas.
Far Cry 5 has Joseph Seed's apocalyptic rants where he's preparing bunkers for the end of the world and tells the main chracter & player attempting to take him will end in nothing but death and destruction. In all endings but the one you refuse to take him, it's proven he's 100% right. The world being nuked is the event he predicts and it happens due to a diplomatic breakdown you can easily miss being talked about on the in-game raido.
Happens in Final Fantasy X, where no one will believe Tidus about being from Zanarkand.
Tidus saying that "there has to be another way to beat Sin". There is, but the people of Spira are so resigned to the regular method (a human sacrifice) that they don't bother to see his point.
Glory of Heracles DS has Cassandra herself show up, and gives a different reason why her prophecies are not believed: when she tries to give them, half the words are rendered unintelligible. Only Achilles can hear her prophecies, and he gets offed pretty fast. Eventually, the party takes her into a room lined with stone that cuts off the power of the gods, and her curse lifts long enough for her to give them her prophecy (which says "Typhon is coming").
An especially dark version in God of War (PS4): Modi tells his father Thor about Kratos killing Magni... but because of numerous prophecies declaring that Magni and Modi were supposed to survive Ragnarok and everything before it, Thor understandably scoffs at Modis claim that some random dude was able to kill a demigod and defy destiny. He comes to the conclusion that the ever-jealous Modi murdered Magni or left him to die, and proceeds to beat him within an inch of his life. In truth, Kratos is a god himself, meaning what he did was perfectly feasible... but Thor doesnt know that and simply makes assumptions based on the flawed information Modi gives him.
Feizhi is essentially a kung-fu Anime Chinese Girl Cassandra. Several of the NPCs in Xian are indicated to believe her visions, after the first two came true... but her father not only disbelieves, he rebukes her for having a vision that her friend was caught in a rockslide and worrying about him, which is the part our heroes see before she runs off in tears to find her friend.
Saturos and Menardi. They tried to explain the situation to the Vale elders, but when they didn't believe them, they were forced to take drastic actions.
In Guenevere, Guenevere has the option to tell King Arthur that Lancelot is inappropriately interested in her. He laughs it off as a misunderstanding.
In Infamous Second Son, Delsin Rowe has just gained Conduit powers at the start of the game. When confronted by Brooke Augustine, Good Karma Delsin will try to turn himself in as a Conduit in an attempt to keep her from hurting the other Akomish. However, because Delsin doesn't realize that his ability is Power Copying, he says he "caught it" off the Conduit Augustine just captured. Augustine, who actually knows how Conduit powers (generally) work, doesn't believe him and proceeds to torture everyone in an attempt to find out what Delsin was really hiding, setting off the plot of the game.
In Iru, when Inaba goes to Housou-sensei about how Rie killed Kyoka and then came after him, she doesn't believe him.
In The Legend of Zelda: Ocarina of Time: Zelda's claims that Hyrule is in danger and that Ganondorf might be a traitor are disregarded by the king as such. When Link has to send a letter to the guard of Death Mountain gate, the guard, while he acknowledges the writing as authentic, assumes that Zelda is playing pretend.
The entire damn story. Specifically, it's understandable for the Citadel Council to be skeptical of a lone human warning of ageless giant robot monsters from outer-outer space coming to wipe out all galactic life, at first. But after said human and their cohorts are proven right, time and time again, in everything else they've told you, some smidgen of acceptance wouldn't kill you!
Turian Council Member: Ah yes, (air quotes) "Reapers".
This occurs within the game itself, in regards to the player. On the very first mission you encounter an apparently insane scientist that you (and the other characters) dismiss for being nuts as he's rambling. He's utterly correct about everything. One of the random planets you can scan has a description indicating it was bought by a millionaire who went nuts because voices in his head told him about an enemy he's looking for weapons to fight... he also is spot on in his description of who the Big Bad of the series is.
Lampshaded in the third game, where Legion reveals that the geth collective believed his evidence about the Reapers returning from Day 1.
Shepard: ...That must have been nice.
The asari councillor finally gets smart about this during the Cerberus coup. Shepard claims that Udina is leading them into a trap, as he's partially behind the coup, but gets dismissed by most of the Council and their bodyguard. However, the asari councillor points out that every single time the Council has disregarded Shepard, it's come back to bite them in the ass, and decides to hear him/her out.
You also encounter a Spectre who explains that, although the Council dismissed Shepard's warnings, many Spectres took them at face value.
Azazel from Nexus War was the angelic personification of Truth. His demonic archrival Tlacolotl was losing the war against the angels and knew it, and managed to convince Azazel to have a talk with the unyielding god of justice Namm about his overall strategy. Azazel, being incapable of telling lies, told Namm that he was going too far with the Black and White Insanity and thus became its next casualty, creating a division between angelkind at a critical moment in time.
Nobody seems to believe Chef Fujimoto from Octodad, the only person able to see through the titular character's paper-thin disguise, despite his constant frustrated attempts to expose the lie. That is, until the sequel, where everyone is shocked by the revelation except Stacy, who is incredulous that nobody else figured it out, either.
Played for laughs when some of the party members explain what's really happening concerning the murders, in detail, to an inquisitive detective... but because the truth sounds so absurd and the characters in question are completely drunk (sort of), they are immediately disbelieved. Said detective however is eventually confronted with the truth to her face and apologizes for not believing them before, though pointing out how absurd the truth really is. The police however flat out never believe you. Especially not Detective Dojima, who demands that the protagonist tell him what's going on, only to hear the truth and not believe it. This happens not once, but twice in a matter of moments.
Although it's played tragically with Taro Namatame, who actually suspects something after the first murder, fails to convince the second victim, and is brushed off by the cops when he thinks he knows the next target; his story was crazy and he was being played by the real killer. In fact, you can put the final nail in the coffin by not believing that he didn't murder anyone, and throwing him into the TV world as punishment.
Persona 5: As part of his interrogation, the Protagonist tells Sae Nijima all about the Palace and working with a talking cat right from the start, while leaving out details that would incriminate his allies. It unfortunately takes him explaining half a dozen incidents for her to actually believe it.
The PokémonAbsol sense danger and natural disasters and go to the people to warn them of the upcoming disasters. However, nobody listens to them, and thus the whole species has a horrible reputation for being the ones to cause disasters.
Resident Evil 6: After distracting the President's security detail in Tall Oaks, Helena suffered a crisis of conscience and attempted to get them to go back before Simmons made his move, but they all dismissed her due to her reputation as "the CIA's problem child." Leon was the only one willing to give her the benefit of the doubt, but by then, it was too late.
In Spandex Force minor villain The Crossdresser sends your character's secret identity to the local newspaper, only for it to treat the suggestion as a joke because there's no way a "great superhero" like yourself could be a total dork. This leads you to comment "I don't know whether to be relieved or really really upset right now."
Your first "actual" party member, Carth, is quick to point out that something stinks in the whole setup, it's a little odd that your Player Character happens to survive, that the Jedi Council is hiding something, etc. At the time, it's easy to chalk it up to the guy being paranoid after being backstabbed by his superior officer. But, come the Tomato in the Mirror, Carth turns out to be dead right on everything. It's implied in game that he may be Force-sensitive, but not trained enough to use it.
After The Reveal, the player character has the option several times to nonchalantly inform people that "I'm Darth Revan", only for them to assume they're sarcastically invoking another trope.
In Knights of the Old Republic II: The Sith Lords, you arrive in Iziz spaceport looking for a Jedi master, smuggled aboard the personal shuttle of the Mandalorian leader. Feel free to tell the customs officers any of this, they won't believe a word.
In Suikoden III, a "mysterious sorceress" wanders into Karaya Village with a prophecy that the village will be attacked by Zexen forces and that everyone should clear out immediately. Nobody believes her, and the village is destroyed. The reason she knew about this is because she was part of the plot, and just wanted to minimize casualties.
In Super Mario RPG, a star spirit comes down from the sky and possesses Geno (a doll owned by a kid named Gaz). Gaz tells his mother that he saw Geno walking towards the woods, and his mother dryly comments that "Geno" was the one who broke her lamp. Later, when the now-living Geno returns with Mario and Mallow, Gaz's mother assumes it's just a guy in a costume.
TRON 2.0: When Jet is captured by the Kernel and the system security forces, he quickly admits that he was born in 1982 and that he is a User. The Kernel finds both statements ridiculous; his code is much too complex to be from 1982, and there's no way he could be a User. He's only spared from being executed when Mercury hears he's working for Ma3a.
Marvel Ultimate Alliance 2; When the prisoners with nanites injected into them rebel, Nick Fury sees this and attempts to warn Iron Man and Captain America. The former shoots down this claim because, well, Nick Fury has a history of lying, despite his goals of protecting the world in doing so. That and Iron Man thinks he has a handle on things. The latter dismisses this claim as well because he needs more than just his word, and he believes that even if the nanite controlled prisoners really have betrayed Iron Man, then he had it coming because of his actions during the superhuman civil war. They eventually come around, but the problem gets too out of hand at that point and it nearly costs Fury his life.
The Prophet in Warcraft III tries to alert the human kingdoms of Lordaeron to the threat of the Burning Legion, but only Jaina Proudmoore heeds the call and takes an expeditionary force to Kalimdor. Lordaeron is destroyed by the Scourge, who bring forth the Burning Legion. It's really smart of him not to reveal his true name: Medivh. After all, Medivh (albeit while possessed by Sargeras) is the one who originally opened the Dark Portal.
Also played with in the Warcraft Expanded Universe novel The Shattering: Prelude to Cataclysm with the old Shaman Drek'thar. His visions were still heeded despite a growing level of senility up until the point where his vision of a peaceful meeting of druids being attacked by orcs, and sending of troops to provide protection, leads to a false alarm and increased distrust by the Night Elves. Later in the book however, this attack does occur, and Drek'thar's caretaker is horrified when he realizes that, not only was Drek'thar right all along, but his most recent visions were about an upcoming Cataclysm.
In Patch 4.3 of World of Warcraft, if you talk to Bishop Farthing and tell him that Archbishop Benedictus, who supposedly left to help the Dragon Aspects, is actually the Twilight Prophet, he will first laugh it off, and if you insist that it's true, he will scold you for believing and spreading false rumors, mentioning to one he heard about Bolvar (whom everyone thinks is dead but is actually the new Lich King).
Happens to Jaina so often it may as well be called Proudmoore's Wisdom.
One quest chain in Theramore through Vanilla and Cataclysm featured a group of deserters from the Theramore Army who were trying to convince others that Jaina's dad was right, and the Horde would eventually sack Theramore because of its proximity. Come Mists of Pandaria and the novel Tides of War, Garrosh's forces did end up attacking and decimating it.