I've pretty much finished every game with a story that I own, with the exception of a few misbuys that I ended up disliking. I like a challenge, so I don't really have any games that I stopped playing because they were just too damn hard, as long as they didn't make it too tedious to try and try again. For example, I stopped playing True Crime: Streets of LA because of a mission pretty much early on which I just couldn't get passed in a few tries. I'd try harder, if it were not for the fact that when you died you spawned on the other side of the city and had to drive back every freaking time. And I didn't like the gameplay that much anyway, so I never looked at it again.
However, Super Meat Boy for instance, awesome stuff. Some worlds are insanely tough to get through so you have to try and try and try. But that's the whole essence of the game, so they've made it as pleasant for you as possible - instant respawn. No menu's, no loading times, no number of lives that wear out, you don't even have to press a button. If you die, you simply immediately try again. If a game's like that, I can be very, VERY, persistent.
Funny thing, I dug Super Meat Boy back up a couple of weeks ago. I finished the story last year, but if you complete each world within a set time limit you unlock the accompanying "dark world" that's even tougher. Also, you can unlock extra characters by grabbing bandages hidden throughout the worlds (usually in very hard to reach places). So I set out to compelete it 100% (I've currently 100%ed the first 4 chapters and the light worlds of the 5th chapter, I'm halfway through the dark worlds of the 5th). Don't know if any of you played it extensively, but man, that 5-1 warp zone where you can unlock "The Kid", Jesus Christ that was hard, pardon the profanity. It took me about 4 hours to get through these 3 screens (when you die - ie, touch any spike or fall out of the screen - you go to the beginning of that particular screen). I recon I retried more than a thousand times. But man, the euforia when you actually make it to the end. Priceless!
Super Meat Boy had been worth every penny even if it just contained that single world. In comparison, it'll cost you 5 times as much to buy modern warfare, which you will finish in just about that same timespan or maybe just twice as long, after which you will utter nothing more than a single "meh" when you actually finish it.