In the order they bug me, I've never finished:
Zelda (the original, on NES);
Metal Gear (again, on NES); and,
Legos Star Wars (PS2 and PSP)
What's really hilarious is that I bought another NES and "new" copies of both Zelda and Metal Gear over eBay a couple years back, started playing them again, and stopped each game in almost exactly the same spot I quit on them originally
I've actually never 100% finished a sports or race game, either, but I don't know if those really count. Do they?
And I didn't complete GTAIII or Vice City, either. Completed the story lines, but not the entire game.