I've never played a game I couldn't finish.
However, this ignores Sega. Sega is my Kryptonite, and that is why I love it. There are very few Sega games I have finished.
The list as I remember it: Strike series, home alone 2, Sonic 2, Labrynth, Lemmings(Hellz yeah), Zero Wing, Commander Chaos, Power Monger, Rings of Power. Anything else=me dead.
God bless you Sega, may you return to me one day.