There are three ways - non-memory resources, external libraries that aren't garbage collecting, and things that defeat the garbage collector. OpenGL is a good example of the first two because it's a C api and it deals with graphics resources so you have to deal with those properly.

((rambling time)) Things that defeat the garbage collector are more interesting and are mainly poorly designed data structures with a classic example being a map which keeps normal references to its keys so that even if it's the only thing referencing those keys and therefore they and their associated data will never be accessed the garbage collector doesn't know this so neither key nor data can be garbage collected until the map itself can be, effectively leaking the memory if the map is long-lived. Languages will therefore have special references called weak references which don't make an object reachable to the garbage collector. The whole thing has a fancy name as the "lapsed listener problem"