I used to play non-ending games throughout most of my teen years. I think that taught me a lesson, because I started to get very depressed. I don't play that much games anymore, and when I do, I try to stick to something relatively short and with clear endings. First person shooters that I can finish in a weekend are good.

Addictive open ended games, sandboxes and competitive online games quickly lead to severe existential depression so I just don't play them. Sometimes people ask me to join them on MMOs. I have to refuse.