Morrowind I have finished, a few times, but Oblivion I have not. I'm still playing it off and on but I am just exploring the world and adding mods that add more places to explore. I have never finished the main quest because it always send me to some far off place on the map and I get sidetracked on the way.

I have tried many times to play Baldurs Gate. I don't know how but the combat seems to be both complex and challenging while at the same time completely boring and inane. Every few years I break out the discs and install it again because of how many people say it's the greatest game ever, but I can never get past disc 2.

Daggerfall. I spent so much time doing side quests that I completely lost track of the main quest. There was no built-in journal either so you had to write down what you were doing. I always seemed to lose track and end up way off course somewhere, doing a quest for the Mages Guild.

Also Star Control II. Great game, but I always get a bit lost exploring the vast star systems.

Septerra Core, Gothic Series (some i came close to, but had to watch the endings on youtube), Magic Carpet, Tomb Raider 1-3, Fallout 2 (damn water filter quest), Little big adventure 1-2 (not enough checkpoints)

Shadow of the Horned Rat.

The one game that got the better of me ...

I complete most games I play, with some exeptions:

Uninvited - just too damned difficult

Ultima IV - couldn't figure out the final riddle and this was before the internet

Bard's Tale 3 - buggy and too little too late

Wasteland - lost save game after having battlet through a gazillion robots in New Vegas. Doing all that combat again did not appeal to me.

Starflight 2 - I did the mistake in attacking the big robot ship early in the game, and was not able to complete the game, since I later could not communicate with it.

Xenomorph - too boring, too much micomanagement, too much respawn.

Disciples of Steel - clunky controls, small view window + large, mostly empty cites, inadequate documentation.

Magic Candle 2 - disappointing sequel to the first game. Huge city where it takes ages to track down NPCs made me rage quit.

Abandoned Places - tried it twice, but gave up due to boring combat and lack of direction.

Buck Rogers: Matrix Cubed - only Gold Box game I have not completed. Fighting the same boring encounter every six steps is not fun.

Ultima Underworld 2 - don't remember why I didn't complete it, but will give it a new go some day.

Daggerfall - one word: VOID. Will give a patched version a new go, and I will ignore all the random crap.

Icewind Dale 2 - didn't like the new AD&D rules much and I felt less in control than in previous IE games. Will give it another go some day.

Oblivion - insalling several hundred mods and do anything but the tedious main quest was more fun.

I've probably forgotten some.

The 7th Saga.

Sniff... Sniff... God, now I want install a SNES emulator in my PC.

Love that game! Need to install that on my Nexus 7.

Battlefield 3 - not because its difficult, just because its so tedious - I really couldnt force myself to play it to completion - I have better things to do and games to play...

The original Ninja Gaiden for NES. The final boss always massacres me...

Can you clarify this? I find it an interesting comment, but I don't really understand what you mean by feeling less in control.

I found it difficult to protect my mages against certain enemies (ogres and/or similar). Despite my protective fighters looking like they stood shoulder to shoulder the ogres were able to squeese right between them, making a beeline for my mage.
I like the combat in the other IE games, but certain parts of IWD2 was too much of the infamous chaotic "clusterfucks".
So some fights ended up with my mage running around like a headless chicken while the pursuer ignored my fighters. The lack of a grid and opportunity attacks was really felt in these battles.
Too bad, since IWD2 has the best use of terrain of the IE games.
But it's quite possible this can be fixed by modifying or replacing some of the monsters' scrips. That is something I'll have to look into if/when I try IWD2 again.

Ah, okay. Thanks for taking the time to clarify. I just really couldn't think what you meant by not having as much control.

Divine Divinity. I've tried to play it four times now, I think. The first time I got all the way to the second map, but I didn't do a whole lot on the first. I got bored and quit. Second time I didn't get out of the catacombs. Same with the third. The fourth I did quite a bit in the first map, but I didn't get far in the second before I just got fed up with it again. I couldn't really enjoy it.

Castlevania 64. I haven't played the game in a couple years, but I played it almost religiously when I was (much) younger. It took me forever to progress through the game, though some of it had to do with the Nintendo 64 being at my grandparents' house. Still, I would get all the way to that last boss, which is actually three bosses, each one harder than the last. I finally got to where I could pretty consistently get to the third boss, but that thing would kill me quite quickly, which meant I had to start at the first boss.

Fallout. The first time I played it I got to a point where I wasn't really quite sure what to do, so losing interest fast, I just quit. The second time I played it I got really far, but I got to a point where I was doing stuff I wasn't sure I was supposed to do. Again, I kind of lost interest.

Morrowind. While I know completing this game would really take a long, long time, I included it because, well, I've never even gotten close to completing the main quest. The longest I have ever been able to stick with the game is a little over a week, and that was when I first got it and I kept trying to convince myself that at some point I was going to see this glorious piece of RPG greatness. I never did. Not that I think the game is good, it's just not for me. Everything moves to slow, animations are bleh, and combat...

I hate the combat.

Several. But the most memorable: B.A.T. II
When I wanted to give it a more serious try (with improved english skills ;)) at least one of the disks was not working anymore. That would be a true gog I would buy in a heartbeat :)

Edit: Reminds me of something: http://www.gog.com/en/wishlist/games/bat_2_the_koshan_conspiracy Vote the hell out of it guys! ;)

The Witcher. God knows I've tried so many times, but I always got bored outta my mind.