I used to be play a game, complete it, go onto another one.
These days I have several games "on the go" but I do aim to complete them.
Recently I've been playing Gish and Alpha Protocol (I'm enjoying it, but can only seem to play 2-3 missions before wanting a break). I did play a good chunk of Torchlight the other week, but I only tend to play that if I've got some kind of idle break or ill lol.
Completed not so long ago: Sam & Max: Devil's Playhouse, Puzzle Agent (randomly found it in my Steam list, musta come with one of the indie bundles I got).
There's a lot of unplayed stuff on my Steam account. Sooo gonna get round to it darnit!