I have some in which I gave up on the game when I was at the last boss:
KoToR - For some reason I could never beat Malak, even with a beefed up character with some of the best armor and weapons in the game I couldn't do it.
Metroid Prime 1 - Same reason as above.
Paper Mario: The Thousand-Year Door - The final boss in this game was absolute bullshit in terms of difficulty. I think once I got her down to around 20 health but then died... I just put the game back on the shelf after that.