Hah, I feel bad whenever I buy a new game without having finished the last one 
I'm a reading whore, though, so I don't play games for more than 2 hours a day. Good to see so many people having huge backlogs.
That's my little backlog for now:
Dragon Quest IX (DS) - Guess I'm about 80% through. Maybe 90%. No idea why I haven't finished that one yet.
Apollo Justice: Ace Attorney (DS) - probably halfway through the game. It's nice but I can only play it in small doses.
Skyrim (PS3) - You must be out of this world to finish Skyrim properly. About 30 hours in and I play it regularly.
Uncharted 2 (PS3) - For some reason I never play this game even when I'm bored. What the...?
Super Mario Galaxy 2 (Wii) - I have 50 stars and the game is fun. Should be doable. I just bought it a week ago.
Debatable:
Super Mario 3D Land (3DS) - I'm in Special World 4 right now but I want to save some of the fun for longer trips.
Zelda: Skyward Sword (Wii) - Second playthrough is boring. I mean boring. Maybe in a year or two. Not right now.
And some of the free stuff I got for my 3DS and PSP:
The 10 free games that came with my PSP Go (finished some of them, started some more... but I'm only interested in half of them, so yeah...) and some of the 3DS Ambassador games (which I'm actually playing my way through, at least the good ones).
Then there's some NES games I could never beat but yeah...
In general I don't feel bad for not finishing games I don't like. If a game is boring it's not worth my time and thus won't be considered part of my backlog anymore (this could very well happen with Apollo Justice if the game doesn't spice things up a bit in later chapters). Also, stuff like those 120 green stars in Super Mario Galaxy don't count. If I get the 120 regular ones I finished the game. I won't complete dozens of hours of side quests to get... nothing in most cases.
Also whenever I play more than 2 games at once I get what I refer to as a "content overload": I can't decide which game to play so I just play neither or focus on one of them. Doesn't make sense? Yeah, I know but it's a quite well documented consumer behavior, actually. Same thing happens when a single game offers too much to do. Think of the 500 Street Fighter characters or the Yakuza side missions someone mentioned earlier. It just blows your mind and you give up. For this very reason I sometimes wish we were back in the mid-90's when you could buy a game for your Gameboy and 100% complete it in a single week. You'd still get a lot of content and the game wouldn't get boring. Rather you'd want to play more of it and most of the time there'd be a sequel after a year or so. Yearly sequels were cool on the Gameboy (Wario Land!) but I don't feel like playing through an epic series like Assassin's Creed each year.
