You have to finish thief!
The last few levels, cutscenes and plot are awesome. The last level in the game (and similarly in thief 2) is probably one of the best levels of any game ever.
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I never finished Tie Figther: Collector's Edition... although i rate it as one of the best games of all time.
It just had TOO MANY LEVELS. Some of the difficulty was pretty bad... so id get sidetracked, and then i'd get a new PC or lose my saved games.
I've started it about 10 times over the years though...
Been playing morrowind for about 2 years on and off... but i keep getting sidetracked with wandering around...

KotOR 2 is unfinished anyway, so you didn't miss anything. The ending leaves loads of plot holes, doesn't resolve much, makes no sense, and is generally frustrating.
I also didn't get very far in Planescape... there was too much reading... and its world really NEEDS you to read to understand what on earth is going on.
I'll give it another try sometime though.

Look, I'm ashamed of myself, all right?
...
Final Fantasy VII
...
I've told you! It was a looong game and I was almost at the end... In the last cave.. And then, my HDD crashed, all data ruined. Then, I couldn't get the game running on the -SAME- computer, so I downloaded PSX emulator and played PS 1 version. My saves disappeared for no apparent reason and guess where... In that goddamn cave! And I never played it again since...

*weeps in sympathetical recognition of a fellow gamer's plight*
I'm just waiting for GoG to release all the psx games with working emulators that won't fuck up my save files... The amount of times I've tried to restart Breath of Fire III, Final Fantasy * , etc etc... Only to have some update wipe my save games or some bullshit... I've long since given up. *sighs*

Long list here as well.
Baldur's Gate and its sequel, and Neverwinter Nights and ITS sequel. Of course, since I tended to start them during exam periods, that might be explainable.
Planescape Torment. Through no fault of my own. Spell effects were blocky, and moving the mouse while they were going on would irrevocably freeze the game. The patch did nothing. Apparently, hyperthreading is to blame.
Morrowind and Oblivion. For the first, I just went wandering, and got lost. Then I'd come back later, and have forgotten what I was doing in the arse end of nowhere with tonnes of stuff unsold. For the latter, the levelling was too annoying. I'd gone for Assassin, which requires sneaking. I'd go through an Oblivion gate, and get absolutely destroyed by the twenty or so high-level Daedra that were waiting for me. Even if I got past them, I'd get seen SOMEWHERE. I had to use vampirism's third-level ability (100% chameleon) to even get the stone.
Fallout and Fallout 2. The sound for the former didn't work, and I didn't want to play the latter without having played the former. I've re-bought the former here, so it'll work properly.
Dawn of War. Second-from-last mission was annoying. Y'know, the one with the RESPAWNING BLOODTHIRSTER.
Beyond Good and Evil. This annoyed me no end. I was on the last boss battle. He kept killing me, though, BECAUSE I DIDN'T HAVE ENOUGH RECOVERY ITEMS. I was very upset. After hearing about the sequel, I've decided to get into it again.
There's more... but this is getting long.

Here's something i think is pretty unique: Crime City (Amiga)
It was a time limited detective game where you father was jailed for murder, and you have to take over his office to find the real murder.
I was NEVER able to finish it and proof him unguilty, and saving didn't work for me so i had to restart the damn game every time.
If someone can tell me who the murder was, i'd be very greatful :)

it would be easier to post list of games I did finish but hokay...
Any command and conquer (enjoyed skirmishes more than campaign)
Monkey Island 3 (no time)
Grim Fandango (no time)
Settlers 2 (reached a point where next mission won't offer anything new so after 50 hours of gameplay I decided i can move on)
Uplink (too repetitive)
The Chronicles of Riddick (got many other games to play so it is on halt atm)
FEAR (got bored of it)
Jack Orlando (no idea why i didn't finish it)
Alpha Centauri (well. I won the game with one nation but didn't play with anybody else)
Megarace 1 (there was a race which no matter what I did I couldn't beat)
Pacman (storyline confused me so I quit)
Need for Speed Porsche (no matter what I did i could win the race. then the save crashed and I never played the game again. it was like 8 years ago. I miss the game :( )
NFS: Undeground (got bored of it. )
Wet Sexy Empire: one of my fav. games from my teenage years. Great game. No idea why i didn't finish it. I need to 'buy' from somewhere.
I mentioned only games which I played a lot before giving up.

+1 (one of the most difficult games I've ever played)