I don't get how you guys can list Minecraft in here - this game has no designated end, you play as much as you are drawing enjoyement out of it, then you drop it. Unless you draw none what so ever... I guess I answered myself on that ;]
OK, for me it was:
Harvest Moon AWL: I LOVED HM:BtN on PS1, despite anything you will throw at it (and I would probably agree - no interesting story/characters, grind heaven, routine on level of The Sims etc), but it was fast, there was some sense of urgency. In AWL everything was so slow it put me to sleep after few hours.
Zelda Phantom Hourglass: I enjoy Zelda games, but that Temple of Ocean King (or something like that) just made me sad. Yahtzee pointed this out. He also pointed that this is the same game over and over...
Final Fantasy 8: Drawing magic was a chore. Much like assigning it to stats of party members. + Annoying characters and lousy writing (dialogs, story... plotholes). I dropped it after Squall got impaled in chest and on next CD he was OK. Just watch Spoonys review of this one for more hilarious moments.
Final Fantasy Tactics: By the time I reached later acts I forgot what was it about due to enormous grind fest required to get there. Gave up, saw the story on YouTube.
Vagrant Story: Grind to get random equipment from monsters, which can take varying time depending on how lucky you are, forge it into better one, but without any help or recipe - just take iron shoes and steel gloves and make a mithrill helmet out of it (it was wierd), then after all that, if you are not bored to all hell, go 1-hit-die on some respawning mob due to too high risk you had. Rage quitted.
I'd list here probably some Bethesda games due to fetch questing issue (honestly - a plague in those games), but had too much fun exploring what kept me going.