Couldn't even reach the halfway point in Chaos Legion. It was far too difficult for me.
I couldn't finish No More Heroes because it was one of the most godawful boring pieces of shit I've ever played.
I never finished any RTS I've ever tried. Not my genre.
I never finished The Elder Scrolls III: Morrowind. I can't remember why. I think my computer was fucking up. Yeah, that was it. Otherwise, I would have finished it. And it would have been glorious.
Never completed Tenchu Z. It was a pile of ass, yeah, but there was fun to be had in stealthily killing some bitches with your custom ninja. However, the last boss is way too damned difficult for me to beat. Damn those controls.
I've never finished any Final Fantasy game I've played. My interest ran out before I reached the end. This is sad, especially in the case of XIII, which for some reason I liked quite a bit.
I never finished Shin Megami Tensei: Nocturne. I think the reason is obvious.
I never completed Prince of Persia: Warrior Within. I couldn't find the last two health upgrades, and I certainly wasn't aiming to get the false ending.
I didn't finish Summoner 2. I think it was a combination of difficulty and boredom for that one.
I didn't finish Two Worlds because I have taste.
I couldn't beat Shinobi (PS2) because it was way too goddamn difficult.
I didn't finish The Chronicles of Riddick: Assault on Dark Athena. If I recall, I'm stuck somewhere with some evil fucking enemies impeding my progress.
I never did complete Vampire: The Masquerade: Redemption because I was stuck in the Tremere stronghold. I fucking hate those bastards. I really wanted to finish that game, too.
That's all that comes to mind.
What confuses me is that while I complain of difficulty on a lot of these, it's not that I'm a terrible game player. Hell, Ninja Gaiden (Xbox) is one of my all-time favorites, as is Devil May Cry 3, neither of which I had much trouble completing.