I played a game of Oh Hell with my daughter, but we abandoned it when I was already ahead some 30 point after round five (six cards).
I played a game of Scrabble with Rachel, but we abandoned it when I was ahead by 100 points near the end of the game. Rachel was actually leading for a good 3/5 of the game, but I pulled a few atonishingly good racks, including a "Z" on the triple word and a bingo near the end of the game.
When you have no chance of winning, and it's a two-player game, unless you can sustain yourself on alternate goals that don't involve winning (such as honor, or a personal goal of achieving some score by the time the game ends), just bow out. And if you're the lucky one who is winning, let your opponent bow out and be graceful. You only won because your opponent agreed to play with you in the first place.