Paperinik New Adventures: This series was a huge hit in Italy, creating a new Darker and Edgier universe for the superhero Paperinik (Donald Duck alter-ego), a whole new pack of memorable friends, allies and enemies and discussing mature themes such as the difference between what is logical and what is right, how humankind would/should treat other forms of sentient intelligence (especially artificial ones) and the consequences of our actions. So far, the comic book series has only been exported to some European countries.
Speaking of Disney, the upcoming Graphic Novel for Epic Mickey 2 won't be released in America.
Pretty much any European comic, aside from Astérix and Tintin. Most successful European comics (such as Suske en Wiske and Jommeke) do actually have a part of their library that is translated to English, but poor initial sales has more often than not been the main reason for the refusal to export comic books to foreign markets.
A good proportion of the work of Moebius (basically almost everything except The Incal) is practically impossible to find in English. Older volumes are mostly long out of print and sell for massive amounts online, and newer volumes have not been translated at all, reportedly because Giraud's widow has no interest in doing so.
De Rode Ridder was exported in graphic novel form under the title The Red Knight, but poor sales stopped the idea of exporting it from going anywhere.
IDW's Doctor Who comic book can't be sold in the UK because of licencing reasons (since othercompanies already have the licence for UK Doctor Who comics).
The Marvel UK comic Wild Angels was a Europe-exclusive Dark Angel and Wild Thing crossover, published by Panini/Marvel Italia.
Marvel and DC Comics have a hard time with publishing their comic books in the Belgian region Flanders and the Netherlands. Probably because De Standaard, who has almost complete dominance over all books in these regions, refuses to sell their comic books. You may still find them in some areas there, but saying that a good chunk of their library is never translated into Dutch for that reason may be an understatement.