Surprised a lot of people mentioned this already but...

Final Fantasy VII - I got to Sephi, and then bizarro Sephi and then I got wiped. Tried it again and again and again, and still had issues, so I put it down. Now it's been years later, and I don't remember anything about the game, so my choice is either leave it unfinished, or start over from the beginning. Ugh.

That may be the only game where I left off at the end.

Oh, well... the original NES Ninja Gaiden, I suppose. 6-X has so many cheap death moments. ARGHHHHHH

That one sounds like it has an explanation: had the NPC in your party with the highest engineering been incapacitated at the time? If so, he wouldn't have been contributing his bonus, and things would have taken a lot longer. Or do you mean that the game required you to make siege towers instead of ladders?

Several people have mentioned this fight, but...when I played it (as a shortsword-dagger dual wielding rogue), I thought it was quite good, and better than most of the rest of the campaign. Unlike most of the other boss fights, it avoided the trap of making the boss either vulnerable to sneak attack (and thus much easier for rogues than other characters) or immune to sneak attack (thus making it much harder for rogues), by making part of the difficulty of the fight come from sneak-vulnerable minions, and part from the sneak-immune main boss. The fight involved figuring out how to make the boss vulnerable to taking damage in a way which I found was fairly intuitive but still required some thought. Was there no way of making her vulnerable to the type of damage you were specialised in, or something?

Neverwinter Nights OC - I got to chapter 4 (last one and very short) and just quit for no good reason. Probably should go back and try again since this was 10 years ago.

FF7... I just didn't care anymore. I was really only playing it because everyone else was.

I second this one. The base game was fairly easy, then the end boss helluva battle and took me long time to kill. Then I started Immortal Throne and learnt that I am getting butchered by almost every enemy I meet. I tried to slog through for some time but eventually gave up on it at some point. I even tried to pick it up later but it lasted about 20 minutes and 4 dead enemies.
Apparently Earth Mage/Defender (Juggernaut) the way I built is as useless as well.

I've quit many a game, but usually not at the very end. The only one that's coming to mind is Beyond the Beyond, the infamously bad PS1 JRPG. The entire game was crap, but it was early days for the Playstation, and there wasn't much (anything?) else on the JRPG market, so I kept on slogging through. Until the Sand Cave, a six-floor structure full of invisible holes that dropped you down to previous levels, together with the game's excruciating random encounter rate, finally broke me, quite near the end.

I got halfway through the final map in Might and Magic's campaign before quitting out of frustration with the magic system in the game. It is interesting to note that the magic system is about the only component of the series that has been continually evolved.

I have a dirty little secret.... I normally get fed up with the end Boss and give up. I spend hours upon hours in some games days and days exploring and working my way to the final ending only to give up. For the most part this tends to be console games as compared to PC games.....if I really loved the game and hated myself for not being able to stick it out and try over and over...I would check out youtube to see the final scenes.

but shh please don't tell anyone.. they might think different of me. =P

My character was the one with the highest engineering skill (level 8 I believe). It might have been requiring siege towers instead of ladders, but it wouldn't make sense. I say that because (for one example) I was trying to recapture a castle (having lost it less than a week before) that I owned most of the game, it didn't have any special defenses built unless they (the Nords) managed to build a defense in less than a week...

One other thing that started to greatly annoy me, trying to retake castles that have been filled with villagers/farmers and them refusing to leave the castle. "Oh...you have a hundred knights and there are only seventy of us farmers? Ha! We can last forever in this castle!".

Heavenly Sword, the last boss was invincible, I guess it was a 'compensation' for the notorious length of the game.

Strange. I don't have any games that I quit a little before the end.
I either ditch them at the beggining, or see them through to the end.
With the help of friends, walkthroughs (or even trainers if I think the game is unfair).

The only game that made me think to give up was Rebel Assault 2. It had a particularly difficult race in a narrow valley on those speeders. It was just impossible to finish. Until one of my friends lend me his joystick (yes, joysticks were not common back in the day) With the joystick the race was easier and we played together to the end of the game.

Same here. The difficulty curve did a HARD spike with that last boss.

Well the first time I tried this fight I was playing a priest. As a spellcasting character it's important you have sufficient resources to win. The second time I played a pure fighter/Champion of Torm, which made it all surprisingly easy. On a sidenote: I started with a really dumb character and I was impressed that all the dialogue changes. My lines would be very... special and all the NPCs were like "Oh, you are a little slow, so let me explain it again...".

-Xenogears (psx) - stopped near the end I was told, "what an idiot!" I was told...
-Ultima VII Black Gate - near the endfight, gave up... Now I am playing U6. hm.
-Fallout Tactics... Great game, but I installed this mad mod without trying it, and it puts the difficulty up a bit. Still great to play, but no longer have the epic save, so I don't think so I can get into that this decade again.
-Simon The Sorceror, sorcerer? epic save again, but just felt frustrated not finding how to solve a puzzle. Save gone.

Ninja Gaiden! That game is madess! I admit it is the only game I HAD to finish with cheats. I never managed to beat it on the NES... the last boss destroyed me at every attempt, and every time I had to restart the entire last level from the beginning! I finally saw the ending just the other year, using an emulator and a save-state before the last battle.
I would dare say it is the hardest game I ever played... and quite a bit unfair, too.