I never finished Deus Ex because it's just too bloody long. I got about 3/4 through, lost my save file, and realized how much work I'd have to do just to get back to that point. I get tempted to play but I don't even want to finish the first level because I've seen it so many times with every combination of endings.
I never beat Warcraft 3 because the last mission is hard as balls. I'm no good at "survive until X minutes have passed" type missions. I beat the hell out of The Frozen Throne though, I loved that expansion.
I never finished Diablo because I was about to finish it, when I quicksaved in the middle of a bad situation. No portals, no potions, cornered by a ton of high-level demons, when I muscle-memory'd the quicksave key. I got close enough for my satisfaction, I don't feel like doing it over again just for the final battles and ending cutscene.
I never finished Diablo II because it's just a bloody boring slog, and around the 3rd area I realize that I've done something horribly wrong while building my character and made myself way too weak to make it through.
I never finished Conflict Vietnam because it's terrible, and also there's a mission I'm pretty sure is bugged. No matter how many times or where you shoot a certain tank with the LAW, it will never die.
I never finished either of the original Fallouts because I have a bad habit of ragequitting, then forgetting what I was doing when I ragequit and having to start over again.
There's also a ton of games that I finished only once and haven't touched in several years; typically these are Final Fantasy or strategy games.