I finish most games, with a couple of exceptions.
Far Cry 2 - I liked the game, but the missions just because repetative, and the constantly respawning guards got to me, at the beginning I would stealth up and have a gander at the outpost, then I would try to find the best way take out the guards, about 5 hours in I would just roar my jeep straight through the outposts and never look back.
Modern Warfare 2 (multiplayer) - When I bought the game, I intended to spend a lot of time in the multiplayer, play all the modes heaps, unlock everything, get a 3:1(+) KDR.. about three days in I got bored and went straight back to my beloved Counter Strike. I loved the single player though, Special Ops made up for the campaigns length and was great.
Final Fantasy X - A wierd one, I got to the airship point, then went and did all the extras, obtained all the best weapons, maxed out all the characters, beat the Dark Aeons, etc.. but I never went back and actually beat the game. haha.