I have the same problem. The solution: pick one and play it till you beat it. If you stop having fun before you beat it, get rid of it. I have 100+ games in my steam list and I have probably completed 10, and put 10 in the trash.
I also uninstalled all other games as the temptation to play them was too great. I kept a few casual games installed because sometimes you just want to play cards or pass a short period of time away.
Start with something linear or not expansive. Beyond Good & Evil or perhaps Zenoclash. Once you have a few linear games beat, you can try a more open and involved game. For me, having completed some linear games helped me to focus more on the main story of non-linear games like Saint's Row 2 - which was awesome once I learned to stop being OCD about some of the shitty mini-games and just it like I was watching a movie and play to have fun.
The problem really stems from the fact that all the games are fun, but you just need to pick one and go.