I get the same problem--notable games that I've loved but never taken it upon myself to finish include, but are not limited to:
-All Zelda games except Twilight Princess and Four Swords Adventures
-All Splinter Cell games
-Zack and Wiki
-Super Mario Bros (I admit I've never once finished the entire game by myself. I've done the first several levels, and I've beaten the last level when a friend got me, there, but I've never gone through the whole game )
-Eternal Sonata
-Mass Effect
-Assassin's Creed
-No More Heroes
-Ratchet and Clank Future: Tools of Destruction
-Hotel Dusk
-Crackdown
-GTAIV
And yet, I'm always buying new ones...