Hmm, what would be on my list...
-Starcraft Ghost (I was really looking forward to this for so long... it was awful when it finally got cancelled!)
-Warcraft Adventures: Lord of the Clans (the PC Warcraft adventure game from '97; as a big Blizzard fan at the time, it was sad to see it never release.)
-Dead Phoenix (GC) - Looked very cool.
-Zero Racers (Virtual Boy) - I still would buy this instantly if it ever appeared.
-Fallout 3 [Van Buren] (PC, Interplay's Fallout 3 game)
-Hot Rod Rebels (Arcade - this is the racing game Midway Games West was working on when they got shut down; remember, this team was coming off making San Francisco Rush 2049, one of the best games ever made)
-Project Copernicus (the Amalur MMO for PC) - It's really too bad it didn't happen

-Geist Force (DC rail shooter, prototype looked and played great!)
- The original N64 version of Dinosaur Planet (Star Fox Adventures just wasn't the same at all...)
-The expansion pack to Quest for Glory V (PC) (sure it's maybe the worst QFG game, but it's still a great game, and there was so much that had been promised but wasn't in the final game (other playable characters, for instance... and more content), and the expansion pack could have put back in! It's really unfortunate it didn't happen.
Honorable Mentions: Eyedentify (PS3), This Is Vegas, Four Horsemen of the Apocalypse (went down with Acclaim's death), Viewpoint 64 (N64), Mega Man Legends 3 (DS), Mini Racers (N64), Bound High and Dragon Hopper (VB), Baldur's Gate III: The Black Hound (PC), Torn (PC), Raven Blade (GC), Rodea the Sky Soldier (Wii/DS), etc etc -- lots of interesting games never release! Oh, and was that Dreamcast version of Scud Race far enough long to count it? If so, that too.
Star Trek: Secret of Vulcan Fury (Follow up to Star Trek 25th Anniversary and Judgement Rites):
Oh yeah, this game. I was interested in it too, though I'd forgotten it. The worst thing about this one, of course, is how Interplay put the very cool looking trailer for the game in like all of their games for a while... and then it never released. Argh!
Another big Interplay one that I thought of including on my list, but didn't, is Stonekeep 2. That game was in development for a long time, but we saw so little of it that there isn't much that can be said... and the first game was only average anyway.