Not counting games I've lost over the years, or the ones that I thought were shit three hours in... Final Fantasy 7, 8 and 9 (save/disk would always corrupt 3/4 through the damn game) and Homeworld 1 and 2 where I'd get halfway through the game and suddenly run out of resources, which equals Death, which equals Return to Start.
A game which I have always wanted to finish, and have come close to on occasion (damn memory card corruption!) is The Legend of Mana for the PS1. Awesome game - it always felt so huge, back when I was 12, and even to this day. Seriously, theres over seventy quests to do, which might not sound like much nowadays, but back on the PS1 that was a bucket-load, especially in a game with such great (drawn) graphics.
Man, I wish this game was on the PSP...