I generally don't complete games, because most of the ones I play aren't really completable (aka online play and stuff).
I'd never delete a completed game... I'd lose all my hard work! I don't know of I've beaten EVERY mode/skill level of any game, but I've kept some games that I have at least finished all the boards in: The Creeps, Sentinel, StoneLoops, Stone of Destiny, TouchPhysics and 7 Cities. (Which I accidentally deleted... and now the second time it almost seems harder!) Of those, I still go back and play all but Stone of Destiny.
I actually have kept all of my paid games on the iPod Touch except for Rebel Onslaught. I deleted that one.