I have never finished an RPG

[Xhukari]

OMFG you should so play Fallout 1. Its a pretty short game (comapred to FO2 onwards), but the it is story packed, and can be completed in a number of ways. (If you know the game inside out, and make a diplomatic character, you can actually complete the game legally in about half an hour, including defeating the last boss with discussion.)

 

[BlueScope]

I guess if you started a bunch of RPGs and never finished one, it's just not your genre. Or, you liked it a lot, but the games weren't varying enough to keep you playing (which is a very common thing in RPGs). In either case, if you're looking for suggestions, I'd try some lightweight RPGs such as the Zelda series (I know some people are going to call it action adventures, but you know what - I don't give a shit, and neither does the game), or less story-oriented and otherwise very smartly gameplay-designed ones, such as Golden Sun or Lufia 2.