All the time, which is probably why I have so many unfinished games lying around.
What's worse is that I even have some unstarted games, but when you get the urge to play something it's of course an urge to play something you've already played, so I do a lot of playing games I've already played to death (I'm looking at you final fantasy!) and my "to finish" pile grows steadily.
Most recently I finished Arkham Asylum, moved onto Asscreed 2, half way through that decided to check out Valkyria Chronicles before stopping half way again to replay Batman.
I would stop buying games if there weren't some great ones coming out soon. I'm already torn on whether to get MAG or not, and I know I want FF13 and GoW3, that's not to mention the things in between...
Aaargh too many ga...*head explodes*