I can think of two immediate candidates: Bo Jackson and Jim Brown. What's funny here is that football was the wrong sport for both of them. Jackson was a superhuman on the baseball diamond, and had he not suffered a debilitating hip injury as a member of the NFL's LA Raiders, he would've patrolled the Kansas City Royals outfield for at least a decade. I say this because baseball is a sport where you rarely run into anything with such force that you dislocate your hip. It's not unlikely that the hard-charging Jackson would have suffered a more pedestrian injury to a hamstring, wrist, elbow, or knee, but he seemed otherworldly enough to be able to make a meaningful contribution on the field. Instead, I remember him from two of 1991 cards: his 1991 Fleer Pro-vision "Bionic Bo," and his 1991 Topps Traded card where he coolly takes in the scene on the bench as a hobbled member of the Chicago White Sox.
Before he put together a Hall of Fame football career, Jim Brown was a hulk with a lacrosse stick. And according to the National Lacrosse Hall of Fame, he was quite possibly the greatest lacrosse player ever. So while it may be unfair to say Brown chose the wrong sport—he's clearly one of the greatest to find gridiron glory—it's not because he wasn't talented. It's because there was no professional lacrosse league at the time he left Syracuse.
As for other players, it's clear that Michael Jordan didn't choose the wrong sport. He wasn't a good baseball player. And speaking of Hall of Fame players, Dave DeBusschere wasn't very good at playing baseball, either. I may be forgetting others, but it seems like only Deion Sanders managed to put together full, rewarding careers in both of his sports (Hall of Fame in pro football; nine seasons of Major League Baseball).
But not everybody can make a hall of fame. For all-star-caliber players, Ron Reed was up and down in his two-season stint with the NBA's Detroit Pistons in the mid 1960s before excelling with the Phillies, Braves, and other Major League teams over his 19-year baseball career, so it's tough to make the case that Reed should've stuck with basketball.
In Bill James's updated Abstract from 2010, he suggests that the baseline goal of the professional ballplayer—in this case, baseball—is to be average. So it's when we get a little creative in our definition of success, the two-sport (or even three-sport) athlete shines: average on-field performance and great box office.
Danny Ainge was average but had the Toronto Blue Jays drooling. Russell Wilson toiled in the minors for the Rockies. Their exploits in other sports sold newspapers and generated mounds of publicity. How did the 1995-96 New York Knicks sell tickets? Well, they were so great that they had Heisman Trophy Winner Charlie Ward coming off the bench (even if he was just an average NBA pro). And Jim Thorpe—probably the greatest athlete in the U.S. in the 20th century—went pro or excelled in almost every sport he played, including baseball. And guess what? To say that he was average at the pro level would be kind (he was not very good). But Thorpe—like Ward, Sanders, Bo Jackson, and the other multi-sporters, even the most terrible (ahem, Michael Jordan)—was great box office. And if that's not the true measure of success in pro sports, well...