Oh hell I've got quite a few I haven't finished:
JADE EMPIRE - got about half way through. Never finished it
RESISTANCE 2 - three missions in, lost interest
UNCHARTED: Drake's Fortune - got annoying. I did finished the sequel, which is MUCH better.
MGS 1 and 2 - but funny enough, I finished MGS4.
KILLZONE 2 - Got right to the last mission, lost interest
FF 8 - got to the 4th disc, lost interest
PERSONA 3 PSP - I swear I will finish it. I'm so close. Just bummed out that it's not as good as P4.
VALKYRIA CHRONICLES - art can only carry the game so far. In the end, I just didn't care for "hit or miss chance aiming"
NO MORE HEROES - that game just sucks. Yes it has style, it's OOZING cool by the bucket load. That doesn't make it fun to play. Also it froze on me twice.
SUPER MARIO GALAXY - fun to play, but had no narrative to keep me interested.
METAL GEAR SOLID PORTABLE OPS - let's face it, the PSP's analogue stick sucks, and that game is no fun to play with a crappy analogue stick.
CRYSIS - Got to the alien ship, lost interest
THE WITCHER - don't know why, just didn't click with me.
GTAIV - because it runs poorly on a PC, no matter the specs.
UT3 - the singleplayer was boring and far too long
DONKEY KONG 64 - Too repetitive
Those are just the games that I haven't finished. I've finished a lot more, and I intend to finish at least some of the ones on that list, such as Persona 3 - I'm so damn close to finishing it too.