I have burned a couple of books, usually ones I really hated. You can slate pretty much any Dickensian work into this category (I appreciate the realism of stories but my god he just had no idea how to shut the hell up already), as well as The Scarlet Letter, but there was one book I read of my own volition that I hated so much that I basically purged it from my memory. I vaguely remember what it was about, but I can't recall the title. It was slow, dull, boring, ineffective, lethargic, and about as predictable as playing Pac Man. Which is bad for a horror book.
So yes, I read all the way through it because I swore to myself I would, then promptly took it outside, soaked it in petrol, wrapped it in Chinese firecrackers and lit the whole damn thing off at once.