Mine are:
Doom II: Never finished it. The farthest I got was the part were the Cyberdemon is wandering the map outside some tower-like structures.
Civilization 3 (I've never played any other one of the civ games): I just got bored with the whole thing at the modern age and just quit or started a new one.
I've also never maxed levels on a out a character in any MMORPG and I never got to buy that pretty mansion in The Sims.