I find myself playing numerous classic games, but never taking the time to finish them.
Breath of Fire 2 (SNES emulation)
Blaster Master (NES emulation)
Zelda: Ocarina and Majora's Mask (N64 emulation)
Numerous arcade games (MAME) - at least these don't necessarily have a (winning) finish
There's more, but I can't think of them off the top of my head.