Let's split this topic into two categories:
Truly legacy games, like from NES/C64/Atari/SNES/Genesis/Amiga times,
and contemporary ones.
So, have you ever finished a game in one continuous sitting without any interruptions?
And what was it?
Mine was Mirror's Edge, and I did it because I was very, very skeptical of this game and I wanted to show a middle finger to its limitations. Looking back now, funnily enough, I have fond memories of the game.
I don't remember any legacy games that I was able to finish in one sitting, apart from maybe Capcom's Commando from 1985/6. Of course in C64/NES times, games were so short, they were bound to be beaten in one sitting anyway, but it would've been impossible to do it the first time you had the chance to play a game.