I remember giving up on Ninja Gaiden 2, at the boss fight with the winged demon in the church. It was so hard that I simply couldn't proceed any further, despite a couple of hours of trying. As it happened, many months later, I picked it up again and despite starting at the fight and forgetting how to play, I beat that boss 2nd or 3rd attempt and went on to finish the game.
Team Fortress 2 is sorta another one. I haven't "given up" though I so rarely play it maybe I have. I just realised that I'll never be that good at it since I've passed the point in playing where I would've gotten the hang of a class's intricacies, and I haven't. It's a little frustrating to know that I'll never be great at it since it's a good, fun shooter, probably the best MP shooter around. More so when I have been able to get good in other shooters over the years.