The TVTropes Trope Finder is where you can come to ask questions like "Do we have this one?" and "What's the trope about...?" Trying to rediscover a long lost show or other medium but need a little help? Head to Media Finder and try your luck there. Want to propose a new trope? You should be over at You Know, That Thing Where.
Something We Forgot - "I'm glad the Big Bad is defeated and everyone's happy. Er, wait, we never actually got the MacGuffin!" *The end.*
Sweet and Sour Grapes - They intentionally gave up on finding the MacGuffin and consider it a lost cause, but they still managed to achieve their actual goal because the MacGuffin was means to an end anyway.
And the Adventure Continues - They'll keep searching for it, but that's another story for another time.
Edited by KD
There's also Malignant Plot Tumor, where the work starts out with a "search for the macguffin" premise and then some minor subplot takes over completely
It's the end of the story and the MacGuffin still hasn't been found.