Teenage Mutant Ninja Turtles on NES. The level where you had to drive that fucking van around (pretty sure it was right after that godawful water level with the electric bacon).

More recently, I could not beat the boss on SFIV. Luckily it was my roommates game. I suck at fighting games, but couldnt beat that cheap bastard even on the easiest level.

I just quit Killzone 2 because I couldn't survive on the second floor balcony.

I can think of a couple games where I've done this, although usually not right at the end. It usually comes down to realizing that I haven't prepared myself as well as I should have. Two games come to mind.

Kid Icarus for the original Nintendo. I loved that game, but I could never completely get past it. I get stuck on a flying level toward the very end where things come shooting at you or something. I can't remember exactly, it has been a while. But the point is that my point in reaching there I'm weak and don't have the number of potions I need, so I keep dying without being able to beat the guy. Maybe I should look for a cheat and try to finish the VC version I have on the Wii ...

The other one is Resident Evil: Codename Veronica. It was my first RE game to try to play. I wasn't too familiar with the games, other than they were survival horror games. I hadn't really played any of those, either, so I didn't know any of the basic tenants. Anyway, I play through and start to get far when I reach a point where I have to beat some big baddies and all I've got left is a handful of bullets and my knife. I had never really encountered a game where it was so easy to run out of bullets and conserving was such a priority. Otherwise, I certainly would have killed those early zombies with my knife rather than wasting all my bullets. Argh! I realized if I had any chance of beating the game, I would have to start over from scratch, and I just wasn't willing to do that.

Metal Gear Solid 2. the robots that you were supposed to shot with rockets. wasn't going to happen.

Strider on the Genesis. I don't know how close it is to the end, but there is a point where you fight two previous bosses (the mechanical monkey and something else) at the same time, and I could only kill one of them before getting killed myself.

Come to think of it, I don't think I ever finished Sub-Terrania, either.

Bionic Commando Rearmed. The last level was so ridiculously hard I just gave up.

Almost gave up on the end of Killzone 2 as the end part is insanely hard but finally got past it.