It has to be pretty darn short for me to do it. I like to move from activity to activity after a couple of hours or so, even if I'm enjoying myself. Just another character quirk, I suppose. Journey was actually the last one for me, I think. Of course, it's so short that it isn't hard to do so.
Very rarely, it will happen with a longer game. I remember Batman: Arkham City being one that it happened for, surprisingly. I put it in when I got the delivery and played it straight through. That never happens for me.