Disgaea 3, but I'm actually actively playing that one.
Starcraft 2, I find the last mission incredibly annoying, though I'd probably beat it easily if I just tried again.
FFXIII, see "cannot be arsed".
Valkyria Chronicles, I don't get it! Why do I never feel like playing it?!
Star Ocean The Last Hope, I hope to finish it one day, but Disgaea comes first.
Metal Gear Solid IV, I HATE the boss in the snowy part... I just can't beat her!
Saints Row 2, not like I need to "finish" it, I just dick around.
That was a list of almost all of my PS3 games. I am sad now.
Here follows a list of PC games I HAVE finished in the past 10 or so years:
Oblivion
Morrowind Oh right, I've just played it a lot, I never did the story.
Fallout 3
Crysis
Dragon Age
Age of Mythology
Half Life 2 (all episodes)
Portal
Fable: The Lost Chapters
Dark Messiah of Might and Magic
Black & White
Casino Empire (don't ask me why)
Believe me, I have a LOT of PC games... close to all of them unfinished.