I've played the Civ games since their inception and I have NEVER finished a game. NEVER. I must have played thousands on Civ2 but never got in to Civ3. Loving Civ4 and Warlords though.
I always get so far through a game and think "Oh I could have done that better", or "Oh I should have tried this or that, or placed a city there". I dont like to save games and try again, so I just start another.
I really like playing the games, its not that I get bored with them, but I've just never been satisfied with my gameplay enough to finish them. I also think I really like the early turns too much so always end up wanting to try and recreate the Roman Empire again.
One day I hope to build a spaceship though!