Development Hell: The film adaptation. A very faithful adaptation, which Mr. Gaiman heartily approved of, came close to being made in the '90s by Roger Avary, but Warner Bros. had him removed because his script "wasn't as similar to Batman" as they wanted. While a new director was sought, his script was rewritten by future Pirates of the Caribbean writers Ted Elliot and Terry Rossio. Eventually, the project was pushed aside, being called "too cerebral for the box office". In the time since, comic book adaptations have become big business, so it's likely the movie will happen someday. Jon Peters, known for his absurd giant spider fight scenes fetish, was also given a try at the script. Mr. Gaiman called it the worst script he had ever seen.
As of 2015, Joseph Gordon-Levitt has fast tracked the project with him directing and starring. Gaiman was very enthusiastic about Levitt's involvement.
What Could Have Been: As discussed here — Gaiman began working on a one-shot detailing the dreams and future plans of a fetus, only for all its ideas to turn into nothing as it was aborted, but he scrapped it once he realized that he didn't want it to be used against some teenage girl already agonizing over abortion.