For certain values of "episode", this trope is known to be Older Than Dirt: many ancient masterpieces of literature are lost forever, and many others are missing chunks of text due to physical deterioration. We know of a relatively small number from quotations or references in other literature of antiquity.
One well known example of lost literature: Sappho's poems, the vast majority of which are simply lost to history (read: out of nine volumes of poetry, exactly one complete poem has survived.)
The Iliad and The Odyssey were originally just two of eight poems that made up the Trojan Cycle telling the story of the Trojan War. The other six, which were not attributed to Homer, are all lost. However, it is possible to deduce the contents of the other poems through a number of summaries, excerpts and references in extant works.
Said lost works include many of the most widely-known episodes of the whole saga. For example, Achilles' death and the building of the Trojan Horse happen after the events of the Iliad, and were recounted in the Aethiopis and the Little Iliad respectively. The fall of Troy is the subject of the Iliou Persis (Greek for "The Sack of Ilion").
A particularly scary hypothesis on the destruction of the Library's contents claims that the works of Aristotle, Plato, Sappho, Alceus and many more were used to heat the baths in the city for months after the Library was ransacked. Luckily (or not) it's more widely accepted that most of the work in the Library was lost simply due to negligence during what was a politically disastrous time.
The Bible contains references to books, such as the Book of Jasher and Chronicles of the Kings of Israel. These are known as lost Jewish texts. Additionally, Books that were written in the New Testament era were either lost or destroyed (with some surviving and being recovered.)
The never-published (but still canon) BIONICLE book, Invasion, which was eventually lost forever after Greg Farshtey's computer died.
Not that it was ever close to being finished, mind you. Even if the written chapters were to be published somehow, about two thirds of the story would still have been missing.
The memoirs of Agrippina the Younger, which we only know existed due to their having been used as references by later Roman historians. Seeing the life of one of the most powerful and prominent women in Roman history from her own point of view would've been nice.
Many ancient philosophical texts are considered lost. This includes all of Aristotle's dialogues (which themselves started a genre of texts distinct from Plato's dialogues) and all the writings of the pre-Socratic philosophers. If Socrates himself ever wrote anything, that has vanished too. All that we know about any of these works, we owe to excerpts, summaries and other secondary sources written by later authors.
One of the Just William books contain a story where the Outlaws dress as "Nasties" (Nazis) in order to frighten a local Jewish shopkeeper whom they suspect of cheating his customers. This is now left out of reprints of the book at the initial request of the author and the executor of her estate.
An example that's notable for being a missing book concerning a major film. In the final years of his life, Star Trek: Deep Space Nine writer Michael Piller spent a significant amount of time writing Fade In: The Making of Star Trek: Insurrection, a very comprehensive look at the behind-the-scenes process and development of what was the ninth feature film for the franchise. While the book is very thorough and engaging, it also highlighted several elements that contributed to the Dork Age the franchise found itself in during the early 2000's: lots of jockeying between members of the TNG cast (notably Brent Spiner) for increased screen time, the scuttling of several scripts that had the potential to be much, much better than the final product, and a detailed breakdown of Paramount's policies and correspondence regarding test screenings and film reshoots. The manuscript was left unreleased, apparently due to Paramount not agreeing with the content in the book, and it remained lost for many years until a source close to Piller passed it to some of the notable Trek fan sites. Almost immediately, the sites were all forced to remove the manuscript due to a cease-and-desist order from Piller's family, and it has once again fallen into obscurity (save for the few fans who downloaded a copy when it was still available).
The original manuscript of Through the Looking Glass by Lewis Carroll included a character called "the wasp in a wig" (Alice would have encountered the wasp at the end of Chapter 8, after her meeting with the White Knight), but the character was cut before publication, possibly because illustrator John Tenniel found the character superfluous and could not see a satisfactory way to draw it. The galley proofs of the missing section (which included a previously unpublished poem) were reported to have turned up at auction at Sotheby's in 1974; they are widely believed to be authentic, but not universally so as no tests have been carried out to prove their age.
Dead Souls, the masterpiece of Nikolai Gogol's career, survives in fragments. It was going to be a three-volume work; Gogol had completed the second volume and started the third when he succumbed to severe depression and burned a lot of his drafts. What's left is volume one and some fragments from volume two.
J.T. Edson completed a fifth novel of his Bunduki series, titled Amazons of Zillikian, that was never released due to a dispute with the Edgar Rice Burroughs estate. Fans hold out hope that it will one day be released.
Forever Knight produced three spin-off novels. A fourth, "On Holy Ground", was ready for release, but the license was cancelled. The fan-produced copies of the book that occasionally show up on Ebay can fetch a high price.
Highlander had a series of 8 spin-off novels (which are apparently considered canon). A 9th novel was apparently ready for production, but either the license lapsed or it was cancelled due to lack of profitability. This left the final book, "White Silence" with an ad for "Barricades", a novel which doesn't exist.
This may also be the case with the Dinotopia digest novels. There's a Library of Congress listing for a novel entitled "Groundswell", but no such novel was ever released.
The final two (of five) novels from science fiction writer Ansen Dibellís King of Kantmorie series (Tidestorm Limit and The Sun of Return) have never been published in the authorís native English. However, copies do exist in French and Dutch translations.
"Cosmic Corkscrew", the first story Isaac Asimov submitted (unsuccessfully) for publication, no longer existed by the time Asimov's other early work was collected and published. The Other Wiki has a whole list of early Asimov stories that were never published and so unable to appear in the anthology.
That list also contains two subversions: "The Weapon", which Asimov had forgotten about because it was originally published under a pseudonym, and "Big Game", which was never published and assumed lost until a fan just happened to find the rough draft in a university library. Both works have since been reprinted in other anthologies.
The Horatio Hornblower short stories "The Hand of Destiny", "Hornblower and His Majesty" and "The Bad Samaritan", originally published in Argosy in 1941, were discouraged from reprinting due to a Continuity Snarl caused by The Happy Return, The Hand of Destiny and Hornblower and the Atropos — the taking of the Spanish ship Castilla and the powder burn on Hornblower's hand — but were included in a (quite rare) biography of C. S. Forester (found by scaryfangirl.com). Also The Point and Edge, which was unfinished when C S Forester died, and only exists as an outline in The Hornblower Companion and Hornblower During the Crisis.
Campaign, which was originally pitched to BBC Books as a "pure historical" (a story focusing on historical places with no sci-fi elements beyond the time travellers themselves), with the TARDIS crew following Alexander the Great's campaign in Europe and being forced to take roles in history due to accidentally wrecking the timeline - Barbara heading for India to learn, Susan marrying Alexander (playing off the historical Alexander's bride being a Persian princess described as a 'teenager of no more than fifteen years given to dancing and wild flights of fantasy and occultism') and Ian spying on Alexander by becoming his bodyguard andlover. Executive Meddling insisted that the pitch was out of character and the plot contrived, to which the author justified his character decisions and suggested Anachronic Order, to which the executives agreed. The book that eventually happened is a metafictionalMind Screw about various iterations of the TARDIS crew (modelled after non-canonical Doctor Who works - TV Comics annuals, Target novelisations, even the boardgames in The Dalek Book) trapped in the TARDIS when the universe no longer exists, with the Alexander historical relegated to backstory, and the plot being about the TARDIS crewmembers slowly going mad and repeatedly dying in order to 'ascend' while taking evenbiggerliberties with characterisation. This version of the book was rejected outright and eventually self-published as a fanzine.
Equilibrium, a Third Doctor book. It was first pitched for the Missing Adventures line, and rejected because the line had all but ended and no further submissions were being taken. It was then shopped to the Past Doctor Adventures line that came up to replace it, only to be rejected because it used (the obscure but enjoyable) Great Vampires as the villains - the BBC had planned that the first Past Doctor Adventure (a Fifth Doctor story called Goth Opera) would be released simultaneously with the second Eighth Doctor Adventure (Vampire Science), both forming a timey-wimey sequel/prequel Arc about Vampires, to serve as cross-promotion for both lines. Equilibrium contradicted the plot of this arc, and even if that had been fixable, releasing another Vampire book at that point would have caused confusion as to whether or not it was part of the arc, as well as villain-fatigue from the Vampires' overuse. Equilibrium was also eventually self-published as a fanzine.