Just picked up Mass Effect 2 last night, will play that through most definitely
Mass Effect 1 (played through twice)
Bioshock
Rome: Total War (have played through dozens of times, start a new game every once in a while just for kicks)
Civilization 4 (have played through dozens of times, start a new game every once in a while just for kicks)
Fallout 3

I typically play games all the way through if I like them at all. The only games I remember not playing through is Elder Scrolls: Oblivion because that game is sooooooo long (plus it got way too easy after I got chameleon gear to 100%), and X3: Reunion because it kept crashing on me in one particular spot and I couldn't get past it, and didn't want to start a new game.