Man I have quite a few. Back around 2005 a friend of mine lent me Starcraft and I remember enjoying the game so much I never bothered to give it back. To this day I probably still have it sitting around somewhere, I always felt bad about it but have long lost contact with him.
A much more embarrassing story happened to me during middle school. I lived almost 2 miles from the school so my parents had to pay for a school bus to take me every week. I have never liked asking my parents for anything(very poor back then), but when I saw my mom giving me 10 dollars every week so that I would give it to the bus driver, immediately I started calculating how much I could do with 10 dollars a week. So I came up with a plan, I stopped taking the bus to school and instead would walk to school(and back) every morning without my parents noticing. It was pretty embarrassing because I was basically the only kid doing it and the buses would drive by next to me and sometimes I would have to hide because I didnt want my bus driver to see me. Anyways long story short it was a pretty awful lot of work that ended up in nothing because after almost an entire school year of this my parents found my stash under my bed with almost 200 and confiscated it. They were pretty pissed thinking it was "dirty" money or something but laughed it off when I told them the real reason. I was planning to use the money to buy a ps2, but it wasnt until a few months later that my parents bought me a gamecube, I only ever owned 3 games on it but I did get quite a bit of enjoyment out of it until I finally got my PS2 when I was 14.
Lol I did something similar but in my case it was lunch money. Everyday after school I would stop by my parent's workplace where they would give me money so I could buy food and eat at home. I soon realized I could save a decent amount for games so I stopped buying food and just ate any leftovers I could find in the house, sometimes I wouldn't eat at all if there was nothing.
I'm not sure how long it took them to realize what I was doing but when they found out they were pretty pissed. They told me I was crazy for caring more about games than eating properly and that if they ever saw me playing some stupid game they would throw it away. It's probably one of the reasons they have always seen my love for games as some unhealthy addiction lol