Plenty. I've definitely finished way more than I haven't finished. Usually it's either because I get bored, I dislike the game too much to continue, or life gets in the way to the point where suddenly it's six months since I've played the game and I no longer remember what's going on but I can't be bothered to start from the beginning.
Games that currently come to mind:
FFXIII. I tried. I really tried. But I can't. I just can't. I don't have the patience for this damn game, these awful characters, or Vanille's torturous voice anymore.
Fallout: New Vegas. I intend to complete this, but university got in the way. When the holidays come around, I'll pick up where I left off.
FFVIII. Okay, I'm damn sure I saw my cousin finish this. Since he was at boarding school, I would always let him play games when he came over on the weekend. But, I honestly just have no tolerance for this game. I cannot tolerate the characters who constantly resort to making inhumanly stupid decisions, the inane story and its utter inability to keep a consistent tone, and the junctioning system that is so easy to exploit that it makes the game a damn cakewalk. I get why people like it, but I just can't with this game.
Ninety Nine Nights. This game is one I would nominate for my least favourite game ever. There are other games that are worse, but I don't think I have ever hated a game as much as this one. I tried to play it again to give it a fair go, since I wondered if maybe it wasn't as bad as I remembered, but I didn't even manage to get past the first character you play as. Obnoxious characters. Obnoxious game.
Dragon Age 2. University interrupted my playing. I intend to finish, but I just haven't had the time to devote to it, or there have just been other things that I've been more eager to play in my free time, like Oddworld.