The game I'm most proudest of finishing is It Came From The Desert. Only ever finished it once, I managed to find the hole the ants came out of and destroy the queen. It Came From The Desert 2 always seemed too hard for me. Other games I've finished
Turrican 1 & 2 (3 was awful)
Syndicate (Never managed to get the extra mission disc)
Theirs loads more I've finished but can't remember them all.