Video game example, kind of: The entire fourth installment of the original seven-part (six-part?) Leisure Suit Larry series was never made, largely because lead designer Al Lowe couldn't figure out how to logically continue the series from the third game on and chose to skip straight to the fifth one. Its nonexistence is a major plot point in the fifth game and it pops up in other series by the same company, never playable.
Another explanation is that Larry 4 was originally going to be a massively multiplayer online adventure game (in the early nineties!), but development never got off the ground as modem technology was still much too primitive at the time, so in the end the small minigames that were used to beta-test the project's online capabilities were packaged together and sold as The Sierra Network.
Leisure Suit Larry 4 turns up as a gag/plot point in Space Quest 4. Vohaul smuggled his consciousness onto a disk of Leisure Suit Larry 4, and the Xenonian scientists are so eager to play it that they load it into the planet-controlling supercomputer. When you're in Vohaul's lair later in the game, one of the programs on his computer is "LSL4."
Word of God has it that Al Lowe had intended to end the series with 3 and thus once said that "There's not going to be a Larry 4! I'm stopping with three.". Well... there isn't a 4, but he didn't stop at 3.
Same source says that it suddenly occurred to him at that time that skipping 4 would be a great marketing gimmick. He was right.
Star Fox 2, was never released, even though the Japanese version was practically completed. The plot would have continued the story from the previous game, and would have introduced Star Wolf as major antagonists. The game was canceled most likely due to the pending release of the Nintendo 64. Shortly after the game's termination, Star Fox 64 began development, and rebooted the storyline from scratch. Eventually the ROM was leaked to the internet, and an English Fan Translation was released.
Many computer games, after their initial publishing run, suffer from a problem somewhat unique to the medium. As Science Marches On, it can be quite rewarding to produce a Video Game Remake or Updated Re-release especially designed for newer computers, except that the source code and other assets of many commercial games are rarely held onto. For example, when the xu4 and Exult projects wanted to make source ports of Ultima IV and VII, Origin admitted that it had lost everything. And when Fallout Tactics was under development just a few years after the previous Fallout game had been released, it turned out that virtually all of the original game's 3D assets had been lost, and nearly all of it ended up being remodeled.
Speaking of Fallout, there's the original sequel to Fallout 2 made by Black Isle, code-named "Van Buren", which was about 85% done when Black Isle's parent company Interplay went bankrupt and the game was never seen again. Fallout 3 was eventually made five years afterwards by Bethesda, yet had nothing to do with Van Buren.
Fallout: New Vegas, however, does reference several concepts that would have been part of Van Buren, specifically Caesar's Legion, the Van Grafs and Hoover Dam. It's no coincidence that the development team for New Vegas was comprised of many former members of Black Isle.
Ultima X: Odyssey: It was canceled just four months after EA shut down Origin.
Many games that don't make it overseas are this to the foreign fans of a series who are cursed with hearing people who actually did get it talk about it, but will never play it themselves. If they're lucky, it's an old game that will get a Fan Translation. If not, they're screwed.
Some may eventually be released, even if in a different form, such as Final Fantasy II (part of Final Fantasy Origins for the Playstation) and III for the Nintendo DS and Super Mario Bros 2 (released in the US about 7 years later for the Super NES on the Super Mario All-Stars cartridge as "The Lost Levels").
The excessively violent and knowingly offensiveThrill Kill was pulled from distribution before it could offend, likely to avoid fears of a moral outcry, and because AO-rated games are not allowed on consoles. The game developers were rightfully annoyed by this; leaking a beta version of the game before releasing another fighting game, Wu-Tang: Shaolin Style using the same game mechanics, albeit marginally toned-down (i.e., LESS bloody and gory).
Several Amiga magazines were sent review copies of Putty Squad, and even the hardliners at Amiga Power graded it 91%—but the Amiga port never publicly surfaced beyond a coverdisk demo. Only an SNES version was published.
The Amiga version was finally released twenty years after initially planned, and for free - you can download it from System3 on their promotional page
The fourth game in Atari's Swordquest series, Airworld, was never developed, probably due to The Great Video Game Crash of 1983. One of Parker Brothers' Return of the Jedi games also never made it past the concept art stage (the other unreleased game, Ewok Adventure, was discovered as a prototype).
Similar to the Leisure Suit Larry example above, there was an installment of Sam & Max: Freelance Police made called Sam & Max: Freelance Police!!. However, LucasArts cancelled it and it wouldn't be until another two years before Telltale Games would make a Sam & Max game. Like LSL above, the game is referenced in the Telltale Games series as a "particularly gruesome case".
The gruesomeness (and bitterness) around the LucasArts sequel is that the game was finished and already rated by the ESRB, before being caught up in the studio's decision to leave the adventure game business entirely.
The reason why many Sega Saturn classics like Panzer Dragoon Saga and Shining Force III have never been re-released is because Sega lost the original programming code for the games. Same for their System-16 (and then some) arcade games.
The original Sonic The Hedgehog for the Sega Genesis was first presented to the public as a playable tech demo at the 1990 Tokyo Toy Show. Yuji Naka said that the demo was planned to be included in Sonic Mega Collection, but were unable to because the original ROM for the tech demo was lost internally at Sega.
The infamous would-be Killer App for the Sega Saturn, Sonic X-treme, never made it to shelves-a result of the game's Troubled Production -which was riddled to the core with Executive Meddling- taking a near-fatal toll on the remaining programmer's health, upon which the game's development was discontinued shortly afterwards. Some assets -such as character sprites, level assets, and a early prototype of the "Project Condor" boss engine- have been leaked onto the internet, whereas other aspects (such as the original engine used for the game) have not seen release.
Yet another "lost video game": Despite what many fans believe, the Tiny Toon Adventures video game Defenders of the Universe never got past development stage. Dialogue and graphics were already produced at that time but Treasure simply terminated the project because publisher Conspiracy continuously held off the release date from 2001 all the way up to the spring of 2002, had it been finished. According to rumors, Conspiracy had major financial troubles that led them to pushing the release date numerous times, as well as terminating many of their other planned products. The company told Treasure that "business complications" was the reason they had to wait. It was not until eight years later when an image of a prototype version was shown, and still it looked incomplete (even though the ESRB already reviewed the game at the time of termination, possibly citing that the game was almost complete). Another project, Scary Dreams, was released the same year, but only in Europe (North America did not acknowledge that game's existence until three years later).
This happens constantly with embedded online games (mostly Flash nowadays, but some older ones used Shockwave)
Anything that was on Bonus.com in the late '90s/early 2000s, since the site is now defunct and most of the media on it (mostly games but some stories too) were endemic to it.
Millsberry was an advertisement game for General Mills. It ran for 6 years but shut down in 2010.
The Super Mario WorldromhackNotte Luminosa was taken down from SMW Central after it was revealed that the creator lied about having terminal cancer, in an attempt to get other people to make Let's Plays of the game.
The Eyewitness series of educational video games has one of these, if it ever was made. There is an Eyewitness Virtual Reality Shark game referenced to in the others, but no physical copies exist. Not even torrents. It's likely that this one game never was made.
There's actually quite a lot of Super Mario Worldrom hacks that fall into this. Some examples include anything from before the time SMW Central was 'hacked' and wiped clean six or so years ago, any resources use in the Japanese hacks Ore World 2 and The Mario (since the authors websites have vanished along with their asm and code), anything from the first VIP 5 uploader (taken down because people used it for things other than VIP 5 submissions), anything from the original Japanese hack hosting/submission site (which vanished without a trace a few years back) and Super Mario World Freedomn since the author's website has been taken down.
Many user-uploaded cities and components such as buildings and maps of past SimCity games like 2000 and 3000 (the first with an Internet component) have been lost as fan sites compiling those city files for others to play have shut down, bought by larger media companies that didn't care about those archives, or corrupted during site upgrades.
This happens to most MMOs once they shut down.
The Sims Online has been lost, but there have been attempts to restore it. The original attempt failed due to EA sending a cease-and-desist letter to the developers, but there are others trying with different engines.
There was a Metal Gear Solid port for the very unpopular Tiger Electronics Game.com console that was never released due to Konami being unhappy with the market performance of the platform (although some of its resources, code and level design found its way into Metal Gear: Ghost Babel).
Original plans for the game was for it to be called Metal Gear Solid III, to reinforce the game's censorship/editing of sequences theme (where did the missing II go?). This was soon abandoned, but early (internal) trailers still refer to it by this name.
There is a large and expensive chunk of that was modelled, animated, acted and complete, but cut from the game at the last minute as the 9/11 terror attacks happened towards the end of development (the scenes depicted Arsenal Gear laying waste to various New York landmarks). The model of the ruined New York and several of the props and character models used in the sequence can be looked at on the Documents of MGS2 disc, which also presents the script of the sequence; and the novelisation (released in the 2010s) retains this sequence - however, the section itself remains in the Konami vault and no footage of it has ever been shown.
Metal Gear Solid Mobile, an award-winning Interquel set between Metal Gear Solid 1 and 2 with a whole new plot and game mechanics, was released just before touch-screen phones became the new thing, and thus was immediately rendered incompatible with everything. Since it was only available for digital download from companies that have now shut down and since phones of that era are impossible to emulate for various reasons, obtaining and playing it is almost impossible, even with piracy - only the NGage version is available on illegal channels and it requires a cracked NGage to play (a discontinued and highly unpopular piece of hardware that goes for hundreds even second hand). There are a few hacker groups working on it, but it's not likely to happen. It doesn't help that it was only available in Japan and to people using Verizon phones in America - so many people in Europe thoroughly missed out.
Piece Walker, a rather enjoyable promotional game for Metal Gear Solid: Peace Walker where you compete with another player to complete jigsaws, is down from the website and can no longer be played. It has not been released again in any form.
Similar to the Panzer Dragoon Saga example above, the Game Boy Advance version of Mega Man Anniversary Collection was cancelled because Capcom lost the original code for the original Game Boy Mega Man games and proved too expensive to rebuild them.
The Atari 2600 game "Saboteur" was never released (would have been released circa 1980), but it was a selectable game in the Atari Flashback 2, released in 2005.
The MMORPG Star Trek Online has removed a number of missions from its game as Cryptic went back and started reworking them. The more notable one was "State of Q", where the player went back in time to the Battle of Wolf 359 to save Benjamin Sisko from the Borg of 2409, sent back in time by, presumably, the Iconians. Cryptic has stated, though, that they'd like to revisit this mission one day.