I never finished Comix Zone for the Genesis until I downloaded it on my sister's Wii. That game irked me but was pretty fun and different.
Game I have not yet completed:
Mass Effect - the game keeps locking up in one particular area and no fix I've tried will work, and I don't really care. The combat is boring as hell.
Far Cry 2: As someone else said on here, I got to the second area and was horrified at suffering through more of the monotonous, repetitive checkpoint-clearing/respawning bad guys to get to objectives halfway around the world. That game was right shit.
Fallout 3: Storyline was interesting enough, but I lost interest after 10 hours in or so.
Red Alert 3: Another broken, boring, tiring game. Load up Red Alert 2 any time, but the third game was an abortion of epic proportion.
The original Zelda. I've seen it beaten, just never done it on my own.
Super R-Type on the SNES. I don't think I got beyond the first boss fight. I tried replaying it on my sister's Wii but continued to hit the same snags.
Probably a slew from the Genesis/NES era
Oh and Oblivion. I liked it and spent 20 hours or so on it but reformatted and never loaded it up again.
Assassin's Creed: Suffered from the same symptoms as Far Cry 2: basically the same mission over and over and over. Gorgeous game, cool horse-riding mechanics, interesting premise, but it really fell short for me.