Maighstir: Personally, I mostly don't want an awesome story to end, so I'll usually play just until the final boss or similar point-of-no-going-back-to-experience-more-of-it, and then postpone it until I lose the savegame.
adaliabooks: I don't think I've ever consciously done it for this reason, but I definitely find myself abandoning more and more games when I'm very close to finishing them. I don't know whether I'm subconsciously doing what your saying or if I get a bit bored or burnt out near the end (or put off by a sudden difficulty spikes) but I can think of three games at least (all great games that I was really looking forward to playing) that I've done this with...
I have the same problem. I did quit quite a few games just before the last bossfight, or the last act, or when the story is picking up speed toward a resolution, after dozens of hours of happy gameplay. Especially RPGs. I postpone until I've pretty much forgotten the game, and have to start over again...
Did that for games I enjoyed very much : NVN2 (stopped in the last dungeon), Terraria (stopped before the last "normal" boss because I get cold feet at the idea of going into Hard Mode and having my gameworld wrecked), BG2 (stopped just before the confrontation with Irenicus), golden sun (stopped at the bossfight), Skyrim (went into "side mission limbo" because I didn't do any story mission), Fallout 2...
There is something that repels me in the idea of finishing a story I liked and leaving the gameworld. Or in making hard decisions that will cut a part of the game away.
And of course there is also the "nightmarish final bossfight that kicks my ass", but I now realise it's more an excuse than a real reason ^^
I'm working on it, though, and managed to push myself to finish several longish games lately, like Valkyria Chronicles or the trails in the sky games, and it gives a good feeling of closure. But it does not come naturally to me
And I realize I have the same problem for tabletop RPGs : My campaigns tend to simply lose steam and get dropped because I get cold feet at the idea of giving them a conclusion. Interesting thought, I really need to work on this one if I want to get better as a GM. :/