With all the Steam sales I get new games more often than I finish them. It doesn't help that I like to replay a bunch of my favourite games too.

Steam sales and Humble Indie Bundles are pretty much the source of all the games that I have bought that I haven't got around to finishing- usually because they were so cheap on sale I don't mind leaving them untouched, or because I never was bothered about playing a particular game to begin with. Difficulty is another common factor though, especially if I'm having problems with tedious boss fights or similar set pieces, where I'm suddenly forced to do something that the rest of the game doesn't expect me to be able to do.
Games that I still have to finish at the moment include (but aren't limited to):
Aquaria - Not knowing where to go or what to do put me off once, but knowing what to do and still not being able to do it (i.e boss fight strategies) after multiple attempts has badly tried my patience.
SpaceChem - The learning curve is far, far, far too steep...and I'm bored.
Penumbra: Overture - I hate sudden-death mechanics.
Gish - I honestly can't see what everyone likes about it.
Grid - It's much harder than I was expecting- I barely even made it through the tutorial/qualifier! I guess I should go back to arcade-style racers...