I bailed during The Fellowship of the Ring during my adolescence and never looked back. Dreadful stuff. Aside from the turgid prose, I hate anthropomorphized furry things.
Otherwise, I see many of my very favorites mentioned here. Wuthering Heights, Jane Austen, The Scarlet Letter, Confederacy of Dunces, Thomas Hardy (Jude the Obscure has the most gut-wrenching ending of any book I've every read). Also some books I at least was in like with (Ulysses, Don Quixote) and which well rewarded the effort.
I have an abandoned shelf at Goodreads, but it's books I couldn't finish because they exceeded my tolerance for trash and/or just plain badness, not because they were boring. That said, I have one book that's languished on my currently reading stack for the best part of a year and while I'd like to finish it, it's long on statistics and short on narrative and I find it a very hard slog. It's called The Decline and Fall of the British Aristocracy, for the curious, so not a classic. It's the type of thing I'd expect to eat like ice cream, but not in this case.