You may want to ask questions like this in the Short Answers to Simple Questions thread, which AFAIK should be regularly stickied on the front page.

In brief, yes, many wars ended with a more or less clear victory for one side without any occupation of the enemy capital. The first that came to mind for me was the Seven Years War, in which it was the winner whose capital was occupied (multiple times!); the Prussians never seriously threatened any of the capitals of the three Great Powers facing them (Vienna, St. Petersburg/Moscow, and Paris), but successfully exhausted their enemies until they accepted a status quo peace. There are many other wars I could name that fulfilled this criteria; without tallying up every armed conflict, I would venture to guess most wars concluded without occupation of the enemy capital.

Why was this? In many cases, especially in the 18th century, these were wars for territory, since in primarily subsistence economies, land was the primary source of wealth and thus power. These tend to resolve themselves through sieges, since it is impractical to try taxing a region if there's still a fort full of hostiles planted in the middle of it. Because sieges consume vast amounts of supplies, the closer the site is to one's sources of supplies, the more successful they will likely be. In the case of Early Modern period, most states had great difficulty making rapid, drastic changes in taxation and manpower policy. This made armies difficult to replace, so rulers and their agents preferred relatively safe, predictable campaigns, where a small setback or spot of bad luck will not spell the ruin of their armies. As a result, these wars tended to take the form of nibbling at the edges of enemy territory. Capitals ensconced deep in a Great Power's territorial core were usually safe from immediate threats.

As a rule of thumb, most powers decide to sue for peace for three main reasons. Either their means of resistance [i.e. armies and the territories that support those armies] have been stripped away, the price of success seems to be more than their objective is worth, or the chance to succeed appears too low. The latter two often apply long before the enemy has made serious inroads towards one's capital, especially for states with the financial inflexibility I mentioned above. In the waning years of the Seven Years War, the Austrians were forced to downsize their army in response to shaky finances, making it that much harder to bring the war to a successful close.