There arn't too many games I havn't completed, normally out of a sheer dogged determination to "get my money's worth". But there are two I had to give up on: 'Steel Battalion' and 'STALKER: Clear Sky'. I have to cite "difficulty" as my reason for both, but "bad design resulting in insurmountable challenges" is more accurate. Honestly, in Steel Battalion it deletes your save if you die. I'm playing a game and not signing up to the army for a reason...
And in Clear Sky I simply ran out of money. I had that little "anomoly detector" device thingy that was meant to tell you when a treasure was about (why, WHY make them invisible? They wern't invisible in the first game!) but I could never find it. I refuse to put this down to my simply failing at it; I was really looking foreward to Clear Sky (the origional being one of my favorite games) and tried hard to enjoy the game... I just couldn't.
One game I'm very proud of managing to finish though was Driver 3; the last level of that had you chase somebody (car chase) and occasionally failed the mission because you "lost them" even though I could still see their car! Despite the 30 dammed meter draw distance! I almost snapped my controller in half for that game, but its disk it now destroyed utterly beyond repair so I will never be tempted to play it again.

Oh and I don't know where all the GTA4 hate is coming from, I thought it was a fantastic game with (surprisingly) a great story even though the fifth time I failed the bank heist I almost broke someone I'd regret. Er, something.