It may be a little old-fashioned now since it's slang from the 1960's, but it always means something negative: -what a disappointment / letdown -what a boring activity

Es como decir en mexico “que lata”

In my personal experience I use often the expression in response to someone telling me about some difficulty or unfortunate experience they have had. for example: friend: "This morning I dropped my phone into the toilet." Me: "oh man, what a drag! that sucks." Friend: "I missed my flight to Cancun." Me: "What a drag!"

Something dull or boring.