Bobwhite. Ben is the last person to figure out that Cleo has a major crush on him.
In Candi, the only member of the cast not aware of Jon's feelings towards Candi (up to and including his now ex-girlfriend) is Candi. Complicating things is the fact that Candi gets weirdly skittish when being pursued romantically, so Jon fears that if he confesses his feelings, it will wreck their friendship just as surely as a romance gone sour.
Hank in Catena is absolutely clueless about the fact that Treiss has a crush on him. Bear also seems to be rather oblivious to Ivy's attraction to him.
Justin in El Goonish Shive has had a deep crush on Elliot for years, which at least one other character knows and several others may suspect, but Elliot himself has never picked up on it.
Elliot himself pretended to be oblivious to Sarah's flirtations so she wouldn't feel 'rejected' when finding out he already had a girlfriend. It Makes Sense in Context ... or at least in his own mind. His girlfriend dumped him, came out as a lesbian, and started dating his twin sister and Opposite-Sex Clone, Ellen. He and Sarah then started dating, but broke up mutually when they realized they were incompatible. (She realized he was too laid back and didn't take romantic initiative enough to match her adventurous personality, and also didn't express physical attraction to her, to the point where she questioned whether he even did find her attractive. He realized that she was like a sister to him. They stayed friends.)
Mr. Verres, knowing there's a lot of Human-Uryuom offspring, managed to miss why his Uryuomsecretary constantly wears a very female human form and likes to sit on his table. Though he is pretty smart (otherwise Lavender wouldn't be attracted, for one).
In an interesting variation, both Elliot and Susan are aware they're utterly enamored with each other, but aren't aware that it's mutual. It's just a matter of who does their Love Confession first. In the meantime, nearly everyone else is also aware of it and some actively ship them.
Justin and a newly-introduced character, Luke, were clearly attracted to each other at first sight - both Sarah and Grace noticed, and Grace has never been wrong about such a thing yet - but neither of them knew if the other is gay. Justin assumed at first that Luke was straight mostly because he's never met another openly gay guy. (Justin: "Something like ninety percent of people are straight." Grace: " ... That cannot possibly be right." Justin: "Probability is on my side. Or, more like it's actively opposing me.") When we get some narration from Luke's perspective, he complains about meeting Justin and finding himself in 'yet another case of my finding an obviously straight guy hot'. They got it sorted out eventually.
Andrew Smith of Gunnerkrigg Court is an interesting case. He puts up with Parley because she's "hotter than hell", but manages to mistake her constanttsundere-style signs of affection for mockery. Then two strangers told him straight. Then she reacted on giving her a flower (a teacherset him up) by unconsciously teleporting them right into her bed. And starts to spontaneously teleport close to him several times per week. And he still was in the deep stunned surprise when she confessed.
Vriska Serket from Homestuck had no honest idea that her moirail, Kanaya, was in love with her. In fact, she thought that Kanaya had a crush on Tavros, the object of Vriska's (hate-filled) affection. There's also another moment where Karkat opens a memo, invites John and Dave into it, and starts ripping into them about 'flirting' with Vriska and Terezi. Cue John being thoroughly confused.
John is amazingly dense when it comes to this. Even after Karkat's lecture about avoiding sloppy interspecies makeouts, he still manages to interpret Vriska's invitation to go on a date as an offer to hang out and watch some movies as friends.
Karkat himself appears to fall victim to this, as it shown several times that Nepeta has a serious crush on him, yet he never acknowledges it. This is bizarre considering his expertise and intuition regarding romance. One later panel finally brings this up when he admits to another character that he is aware of Nepeta's feelings, but he doesn't reciprocate and has been deliberately ignoring the situation because there's just too much else going on to deal with it.
Zig-Zagged with Jake.At first he seems to be oblivious to his friends all having crushes on him, but soon proves that he's a lot more perceptive than people originally thought. However, when Jane tells him she doesn't have a crush on him, he accepts it immediately even despite her strange behaviour. However, while in a dreambubble later on Dirk, playing the role of his subconscious, suggests that he might have misinterpreted her, though Jake uneasily dismisses the idea. And through all this, he still appears oblivious to Roxy's genuine interest in him, unintentionally or otherwise.
The entirely one-way drama plays out in A Moment of Peace. Crux, god of In-Between Places, is completely oblivious to the fact that the goddess of Stories has been crushing on him ever since they started talking at the base of Dawn Mountain.
Out There: Sherry is so very much oblivious to Ari's attraction to her, she thinks that since Ari looks at her differently than she looks at Miriam, it means Ari's attracted to… Miriam.  Meanwhile, Miriam, who has decided she's attracted to Ari, can't get Ari to realize it; Ari thinks she has embarrassed Miriam by offering her menial work. 
In Schlock Mercenary, Lt. Elf had a major crush on Captain Tagon, a crush that was obvious to every member of the crew except Tagon. (Pretty much every attempt by Elf to broach the subject was interpreted by the one-track minded - and occasionally stunningly dense - Tagon as referring to their current mercenary job). She eventually gives up on Tagon and hooks up with Second-In-Command and company Mad Scientist, Kevyn.
In Shinigami Death Punch, Purple remains completely oblivious to White's feelings despite increasingly obvious signs. He's also oblivious to Blue's blatant come-ons, a source of eternal frustration for White.
The title character of Evon is in deep deep denial about her feeling towards Hero. Even going so far as denying it to herself when confronted by her clone, who shares her memories and outright states that they're both in love with him.
Both Helen and Dave of Narbonic spend most of the run of the series completely oblivious to the fact that the other is smitten by them.
In Girl Genius, Jiminez Hoffmann completely fails to notice that Princess Larana acts the same way around him that he acts around Collette. When he realises Larana is betrothed to him for Altar Diplomacy between the two underground kingdoms, he vows to get out of it for her sake.
Moloch: I... I don't know [if I'm over her]. I... everything is suddenly so different. I mean, I still like her... Snaug: Oh, really... Moloch: But see— (Lightly gripping Snaug's chin) until the last few days, I never had a chance to get used to being around attractive women! So, Sanaa? Yeah, she's smart and tough and I like being around her— but since I feel the same way about you, I obviously don't know anything about romance. Stupid, huh?
The trope is both played straight and played with in Cobweb and Stripes. In the mid-teen chapters, the leads start developing some Unresolved Sexual Tension. Lydia plays the trope straight, as she is aware of her own growing feelings for Betelgeuse but not of his for her. Betelgeuse, on the other hand, not only gradually becomes aware of both sets of emotions, but actively tries to ignore them in the hopes that they'll go away. He's got his reasons, one of which is that he's truly (secretly) afraid of hurting her.
In Avialae, it goes both ways with Gannet being oblivious of Bailey's crush on him for a long time and Bailey being oblivious of his own crush on Gannet for an even longer time (as well as being completely clueless about Gannet's attempts to flirt with him until Gannet flat-out kisses him).