Well depends, I guess "finish" can be mainly attributed to single player games, as multiplayer on-line games usually don't end. If I start a game I very rarely leave it before finishing. The few I have left on top of my mind are:
*Super-precision/platformer based games: Super Meat Boy, Skyforce reloaded etc..etc..
*Logic/puzzle based games where the puzzles were too difficult or time-consuming
I kind of left Prey 2 too. I was doing really good on medium difficulty, but at some point I realized how much more grind I have to do and I just said no more hours into this one.
As years go by, my preferences changed to games that have low learning curve and don't change too much. For example if you haven't played Warframe for half a year, you are dead in the water-> balance changes, new weapons, new patches, new builds...you need to read SO much blah-blah.