Depends on the game.
I'll happily try to beat a level on Super Meat Boy 'till the end of time, because when I die it feels fair, painful, but not cheap in the slightest. However if it feels cheap and undeserved if I die in a game, I'll stop trying pretty quickly.
I also quit pretty quickly in games where you have to figure out how you're supposed to proceed in the game. Call me stupid, but I don't want to have to figure out how to play a game before I can gt to the actual gameplay bit.
Yes I'm looking at you "The Witcher".