I used to believe I would never NOT finish a book. But now I realize life is too short to spend time reading books I dislike!
I've seen a few books mentioned that I too could not get through:
Middlemarch
The Sound and the Fury
Other books I just couldn't get through:
Billy Budd
Sister Carrie
The latest book I've been reading that I gave up on was An Everlasting Meal, an essay-style book about cooking. It's not hard reading, I just found it pretentious, and it's hard to read about cooking in essay format. I enjoyed reading Julia Child's memoir, but reading about how to cook written in paragraphs is not my cup of tea.
I was relieved to see someone else say they don't like Hemingway, because I have never been able to get into his books, and analyzing them back in undergrad classes was always a chore.