Fallout 3: Still haven't finished Broken Steel, even though I bought it the same day it was released)
Lost Odyssey: No, I really can't be arsed climbing yet ANOTHER BLOODY TOWER!
Tales of Vesperia: I could have sworn I played a level resembling a "final dungeon", followed by what definitely felt like a final boss. But nope, it just keeps on going, leaking interest from every hole.
Final Fantasy XII: There really wasn't anything that gave me any incentive to keep playing, especially since the battle system really wasn't my cup of tea.
Half Life 2: Tried to get through this one on several occasions, but I just can't do it. For some reason I can't maintain enough interest to actually get through it.
The original Metroid: I was too young to figure out what to do when I actually played it, and going back to finish really isn't something I prioritize.
Super Mario Bros.: What can I say, I simply never beat it.
There are tons more from when I was a wee laddie, but these are the ones that stand out.