Usually, if I haven't finished a game, it's because I found I just didn't like it, and the very act of playing it was grating.
However, I don't think I ever finished San Andreas, no matter how many hours I clocked on that. Because my disc broke.
I didn't finish Final Fantasy VIII either, but I'm pretty sure I saw the end while my cousin played it. I either lost interest, or, again, had a disc break.
As far as not finishing because of difficulty? I don't think I ever finished the old school Prince of Persia (might have been Prince of Persia 3D). But, then, I was a kid, and those god damn traps were unlabelled and cruel.