The only games I've never gotten around to finishing are:
Splinter Cell- They just get too hard near the end. Double Agent is the only one I could finish, and incidentally the worst in the series
God of War- I really want to finish this. I got GoW II when I was about 3/4 of the way through, though. Then I got my PS3 and neglected it and now my PS2 refuses to run it.
B/C in a firmware update, Sony, PLEASE!
Oh also Shadow of the Colossus. I got bored after the sixth one.