I played but didn't beat... (I'm TERRIBLE at putting down games and never finishing them...)
FF1. Barely started it.
FF2. Barely started it.
FF3. Barely started it.
FF6. Got to last dungeon and got bored.
FF7. I remember Midgar getting blown up somehow, but never actually ventured inside. Started doing sidequests and got bored.
FF8. I got to... hell, I don't remember. Somewhere on disc 4.
FF9. I HATED this game, my least favorite FF. I got to the beginning of the last dungeon and quit.
FFX. I couldn't beat the last boss and never tried again.
FF12. I'm still playing it occasionally.
Final Fantasy Tactics. Got to the last battle and couldn't beat it, quit.
Still haven't beat Twilight Princess. I'm currently in the Sky Temple... haven't put it in the Wii in like a year.
Never beat Super Mario Galaxy, and sold it.
Never beat Chrono Cross. Got to the one place out in the ocean where time is frozen (I think? I could be remembering wrong) and quit.
Never played any Resident Evil for any length of time.
Never beat HL1 without cheats (or HL2 for that matter). I always get stuck and frustrated, and just wind up godmoding and noclipping.
Never beat Secret of Mana, Seiken Densetsu 3, Illusion of Gaia, Tales of Phantasia... the list goes on.
Never beat Dragon Quest VIII. Got to the last dungeon... can you guess the rest?
Never beat Lufia 1 or 2, though I only got like halfway through each.
I own a copy of Albion for my PC and never beat it.
I've never played any Sonic game past level one, and I've never owned a Sega system.
I once had a Virtual Boy... and secretly loved it.
Never played or even seen Wind Waker in action, but played every other title (except for the ones on "that other" system.
And whoever said Megaman X was awesome, you are correct.
Though I didn't think X, X2 or X3 were particularly hard, any of them.
There are plenty more sins I have committed, but I'm sure I've said enough to show my unclean status in the eyes of gaming gods...