Lots of good comments in reply to this message. "I want" songs are characteristic of the integrated musical and many of Sondheim's shows are not traditional, integrated shows. Although Sondheim was tutored by Oscar Hammerstein he often wrote shows that were not like his mentor's shows. "Company," for example, is usually called a "concept musical," one organized less by plot than idea. "Assassins" and "Pacific Overture" are also concept musicals and "Follies" may be one.
One can find "I want" songs in Sondheim shows but they're not always as early as they would be in a traditional show. In "Company," as someone mentioned below, "Someone is Waiting" could be an "I want" song altho it's pretty late compared to where it would be placed in a Rodgers and Hammerstein show. In "Sweeney" the "I want" song might come as late as "My Friends." ("Johanna" is not the protagonist's song. Nor is "By the Sea.") "Anyone Can Whistle" has it in the right place, but it's a weird "I want" song: "Me and My Town."
The shows Sondheim wrote with others sometimes have more traditionally-placed "I want" songs. "Gypsy" has "Some People." "West Side Story" has "Something's Coming." On the other hand, "Do I Hear a Waltz" (Sondheim with Rodgers and Arthur Laurents), if it has an "I want" song, it must be "Here We Are Again," real late by the integrated musical norm.