The main problem with Rey Mysterio's run with the World Heavyweight Championship is how horribly they booked it. It had a great start with his match against Orton on background... then there was his feud with JBL. Why did Rey Mysterio lose to The Great Khali and Mark Henry right after winning the title? Mysterio should of beaten Henry and never had a match again Khali.
What kind of a champion loses to a midcarder in his first few weeks?
Because they had to make him look like the underdog again. Rey Mysterio can absolutely never ever look like he is going to win. That's what frames his entire character. Giving him the world title makes the fans instinctively think "oh, he is the champ, he is pretty good", because the entire wrestling industry has groomed fans to think that since day one. When Mysterio won the belt WWE had to do everything they could to take that away from him, and restore him to the underdog character that has got him over enough to be considered for a championship run in the first place. So he got smashed by some physically dominating heels to remind everyone how fragile he is.
I will forever hate how they used Rey Mysterio's popularity to establish him in the world title scene when they could have used it to build the cruiserweight division. There were so many good cruiserweights around him in 2003/2004/2005, and instead of using Mysterio's popularity to get that whole division over, they moved Mysterio out of it and let the division die. Lightweight wrestling was so hot in the industry at the time. WWE could have made their division super hot, especially with the young fans, by basing it around Mysterio and using the talent on their roster and floating around ROH.
The kids would have loved it, as they always love the high flyers. It makes for perfect fast paced pick up segments in the middle of long television shows that reinvigorate audience's interests when they're getting tired (just like WCW used to do). Importing a couple of guys from Mexico helps build the Latino audience. And its building new stars, which WWE desperately needed at the time.
I can never ever understand why they didn't do that. It just seems to make sense from both business and creative perspectives.