I have at least two that bug me.
-Silent Hills
Yeah getting this one out of the way first since I'm sure for a lot of people this is #1. Basically Hideo Kojima's next project after Metal Gear Solid V was originally supposed to be a reboot of the Silent Hill series for the PS4, and to build hype for it a famous playable teaser (literally named "PT" as well) was released for free to give people an idea on the atmosphere of the game (IIRC it was stated somewhere there was no guarantee the final game was gonna be a combat-less first person game). Kojima even had some pretty notable names attached to the project like movie director Guillermo Del Toro was to act as a producer, horror manga artist Junji Ito was involved in some way, and the main character was to be played by and have the likeness of actor Norman Reedus, best known for his role in The Walking Dead. When the project was confirmed in late 2014 people were super hyped since thanks to Kojima's reputation for helping craft intricate but also off-the-wall narratives and the PT teaser showing the atmosphere of the game would be more in like with the older entries in the franchise, it looked like Silent Hill was gonna make a big comeback.
But then 2015 rolled around and the upper management at Konami lost interest in wanting to make more traditional games and wanted to move more into the casino business, and some of them got fed up with Kojima's perfectionist mindset that was causing MGSV to be delayed quite a bit, so Kojima was ultimately fired from Konami, MGSV was released without the ending being properly implemented, Silent Hills was cancelled, and to add insult to injury Konami removed PT from the PlayStation store and made it so that even if you had it on your account if you didn't download it before a certain date, then you can never download it ever again (at least not through "legal" means). Kojima would reform Kojima Productions as an independent studio separate from Konami and would go on to make Death Stranding for Sony, an atmospheric post-apocalyptic adventure game which does bring back some of the talent that was to be involved with Silent Hills such as Norman Reedus (playing the main character again) and Del Toro (with Del Toro allowing his likeness to be used in the game as a character), but sadly we'll never get to know what Silent Hills would have been like had the project been finished. One can only hope maybe one day a disgruntled former Konami employee at least leaks in-development footage of the game.
-Ravenholm
Around the time of Valve making the Half Life 2 episodes, they contracted Arkane Studios, who at that time were best known for working on action-RPGs like Arx Fatalis and Dark Messiah of Might and Magic (and later would go on to be known for Dishonored and the 2017 Prey), to make a spin-off game set in the HL universe called "Ravenholm." The game would have been the sequel to the Opposing Force expansion to HL1 by putting players in the shoes of Adrian Shepard once again (though how he got out of the Gman's interdeminsional holding cell has never been explained). Father Gregory from HL2 would have also been a constant companion in this game due to the setting being, as you would expect from the name, the town of Ravenholm which Gregory stayed behind in even after the Combine shelled the hell out of it. In-development footage of the game was finally shown off during a documentary on Arkane produced by the YouTube channel Noclip, and what was shown and said about the game sounded super promising. Unfortunately though Arkane never got the chance to properly finalize certain elements (for example you can see in the footage they were still using Gordon's hand models as placeholders) because Valve suddenly called up Arkane one day and said they were cancelling the project. Producers at Arkane weren't happy to hear this and initially did keep working on Ravenholm for a bit longer in hopes they could show off what they had made so far to Valve and see if they'd reconsider, but ultimately Valve still said "no" and the project was shelved. Builds of the game are still on hard drives within Arkane's main studio in France. and apparently new employees are even given the opportunity to play what was made, but it seems that unless Valve gives the "okay" these builds might never see a public release.