The first time I can recall not finishing a book was for a world history course in college. I started it 3 times and by the time I hit page 15 threw it across the room, very nearly taking out my roommate the last time. I went to my professor, also my concentration advisor, and said I'm sorry, I just can't do it, the man is a moron.
Fast forward a couple of years, I rolled into my office muttering about the book I was reading. After several days, a friend asked me why I was continuing to read it if it was so horrible. I looked at him like he was from Mars. Not finish a book. That was not who I was.
Over the last couple of years I've been doing quite a bit of experimental reading and I've finally learned how to leave a book behind. Most of the time it's because the story just doesn't capture my imagination. Leaving a book behind is still not an easy thing for me to do, but with so much wonderful literature to be read I'm learning to better curate my literary travels.
There is one book that still haunts me. Every once in a while I have this eerie feeling of something unfinished. I was nearly finished with it when it was stolen out of my gym locker a number of years ago. I've tried several times to locate another copy, but alas, have yet to find it.