Any fanwork in a fandom under a Fanwork Ban usually becomes this. As most sites are pulled for fear of invoking legal wrath, some fanworks are made available through shady underground communities.
The Star Trek fanfic "A Fragment out of Time" by Diane Marchant — the first Kirk / Spock fic ever written, and the story that spawned Slash Fic as a genre — exists today only in its original zine, Grup 3, which is extremely rare. The story was never posted online. The only way to read it is to hunt down the zine in used bins at conventions. The University of Iowa Library, however, hosts a special collection of early fanzines, including Grup 3 and the zine that contained Marchant's defense of K/S — Grup 4.
This is actually true of many of the early fic written in zines, as many authors never made the switch to the Internet.
Computer Boy, an Australian parody of The Matrix. No DVD release and only available as a low-resolution Quicktime download, due to (apparent) legal issues with a scene filmed inside a McDonald's store.
It has been known for fanfic authors who turn pro to pull their fanfic from the internet, either because they consider it Old Shame, because their publishers don't approve, or because they're strip-mining their fic for ideas for original works and don't want people to make comparisons.
It's not just ones from authors that turn pro. Any fanfic can just disappear from the internet due to some reason from the fanfic author. Sure, most of those aren't worth reading, but there are some good ones that disappear too.
Snow Angels is only notable because it has a works page, but the author has long since pulled it from Fanfiction.Net. A Dramatic Reading of the first few chapters does exist on YouTube, but the videos have been made private (so only the dramatic reader's friends can see them) after somebody the dramatic reader knows in real life mistook him for the actual creator. Since Snow Angels is So Bad, It's Good...
When an Internet domain goes under, works by inattentive authors using that domain will disappear. The end of Geocities killed quite a few fanfics on unmaintained sites which had been popular enough to stay up by reader visits alone. Ones on Tripod and Fortune City have also disappeared.
Anything that was on Soupfiction and is not in the Wayback Archive.