Halo 2 (don't look at me like that) mainly because I was runnning a hacked copy that would work on XP (again with the looking, what can I say? I'm a purebred PC gamer and I didn't have or want a copy of vista), got to a point half way through and it just glitched the hell out and stubbornly refused to go any further.
Rome: Total War and Medieval2: Total War due the fact that finishing one of those campaigns takes forever, and frankly I lost interest after a few days of not really getting anywhere....
Warcraft 2: Don't ask why, I really don't remember.
StarLancer: A great regret of mine because I loved that game to bits. Got to the last level and fluffed it. Went back a few years later to do it, couldn't get past the big fuck off Ion Cannon mission, fml.
C&C:Generals: Never finsished the Chinese campaign, again, I have no idea why, I got to the last mission and did most of it, went to bed or something and never went back to it.
C&C1, C&C:Red Alert 1: I think they were cases of getting to a level which was just too hard for my 9-year old self and me subsequently giving up after repeated failures.
C&C: Red Alert 3 : Great game, painfully cheesy and kitschy so played as long as I could bear to. Not very long I'll be honest, not helped by the other new case on my shelf containing what I'd been told was a new IP version of KOTOR(which I loved) and now know to be one of the best games I've ever played (i.e. Mass Effect 1).
Space Siege. God was that game a disappointing waste of time (I was expecting something really good considering what GPG had done with Dungeon Siege 2 and that they were mining that rich vein of environments and atmosphere that System Shock 2 had opened up. Instead I got handed... That thing). I just lost the will to play, mainly to prevent myself losing the will to live.
Genesis Rising: Very quickly turned into an excercise in arse-rape and gave up.
Homeworld: One of my great regrets. Got to Bridge of Sighs and inspite of long since working out how to beat the bloody thing, at the time really couldn't and consequently continually got my head handed to me until I got bored and wandered off to play Cataclysm again.
March: Offworld Recon: I found it in a bin, it rapidly found it's way into another one.
Arguably, Dawn of War Dark Crusade (only ever finished five of the campaigns, got halfway through the other two before I lost interest). A similar argument could be made about Age of Wonders.
Wow, that was a lot of games... Christ...