There are quite a few old school games in my collection that I haven't beat. A lot of them require real dedication, so often I won't touch them until I'm ready to commit. I complete most of the newer games that I buy though. I don't know exactly how many, but I'd say I complete roughly 60% of them.
Some recent one that I haven't beat...
Zack and Wiki- Got Brawl and haven't looked back.
Fire Emblem: Radiant Dawn- I was taking a break from it to try out Z&W, then Brawl came along. I will definitely go back and finish it though, as I love me some Fire Emblem.
Trauma Center: Under The Knife- Got stuck on one of the last levels/missions/whatever, then got to playing other games. I figure I'd be lost if I went back now. Maybe some day.
Shadow of the Colossus- My PS2 crapped out on me while I was playing this. Was maybe a Colossi or two away from finishing it.
KOTOR II: The old X-Box went kapoot while I was playing this. I was barely able to finish Splinter Cell: Chaos Theory with my X-Box sputtering through cutscenes, so I guess I should feel lucky.
Contra IV: I've beaten it on Easy and finished all but a few of the challenges, but I won't consider it "beaten" until I finish it on Normal.
"I feel like I could take on the whole Empire myself."
