That all depends. There are games that I didn't finish, but usually because the game was so poorly designed or so lacking in enjoyment that it was not worth the effort. That said, a game that isn't completed should likely be considered more difficult than any game that has been completed. However, I would not state this. I didn't finish a 3d Ninja Gaiden because they are awful games - super hard, but too poorly made to bother with (if I can't ever see the enemies killing me off screen then f'ing forget it).
So, with that in mind, the most difficult game that I can think of would be Valkyria Chronicles. I very much want to continue playing the game but even with video walkthroughs I cannot beat whatever level my game is saved at (it's been too long since trying for me to remember). Perhaps it's simply the kind of game, I'm not usually one for strategy, but it is definitely beyond my grasp even when cheating.
