I think I've now finished just about every book I've started - if I haven't, I don't remember what they are!
However, not all that long ago Lord of The Rings was on that list - finally forced myself to finish it about 5 years ago.
Edited to add:
I once heard a book critic say as if it was fact that people who claimed to enjoy Thomas Pynchon's books had never actually finished reading one. I can safely say that is not true.