The original planned Privateer 3 as conceived at Origin.
The original isometric 2D version of Ultima IX circa 1997 or so (think old-school Baldur's Gate, and other titles during the height of the isometric cRPG) before Origin transferred the entire team over to Ultima Online, and then afterwards scrapped all the original work and engine when they finally resumed the project.
The original J.E. Sawyer helmed Fallout 3, aka Fallout: Van Buren being developed at Black Isle Studios before the studio bellied up. I'm sure this is one of the most commonly listed ones for old-school Fallout fans like myself.
A sequel to Vampire the Masquerade: Bloodlines which there was talk over at Troika Studios of developing (I think, it would have been very early conception period) before the studio, like Black Isle, went under. This one was a particular heartbreak since it's one of my favorite games of all-time. OF ALL TIME! /kaynewest
All of defunct Headfirst Studios planned Cthulhu sequels. I was a big fan of Call of Cthulhu: Dark Corners of the Earth and am sorry it wasn't a bigger success. I suppose it was meant more for cultdom than stardom.
I don't think there was ever an official cancelled Sid Meier's Alpha Centauri sequel in the works, which is a pity because that's a game which truly deserved one, far more than endless cash-cow Civilization sequels.
So many of my favorite studios sort of dissolved, got bought out, or went bankrupt; Black Isle, Troika, Irrational Games, Looking Glass Studios, Digital Anvil, Gathering of Developers, Rogue Entertainment. Then there were others like Origin and Firaxis which went in a direction I was wholly opposed to.
Well, thank god for the proliferation of indies and the kickstarter model. Frostpunk is the most I've been excited about an upcoming game in 10 years.