I tend to retire when a game gets out of hand. I never just abandon the game. I keep track of my games with sequential numbers (I am right now on game XL (40) ) a practice I started back in Civ III. It allows me to track myself in the HOF, to see if I have done better or worse over time, how current strategies are holding up, etc. etc. Interestingly, my best game SO FAR is still game II, the only game I played on Settler level.
If I get to an untenable position, I tend to retire. After year 2000, I will finish the game out, even if I am sure to lose to an AI space-race win, since with less than 50 turns left, I don't lose much by finishing it. It helps me polish my endgame. But if, say, I get a barb rush that catches my unaware in 1000 BC and I lose a core city real quick, rather than restart an earlier save, I usually retire and start a new game. I find myself retiring a LOT less than I used to (early on it was every other game or so. I have run every game to completion, not always a win, for about 10 games...)