Crusader 3, unquestionably. Still remember seeing the screenshots in the hint book for the first sequel.

Star Wars 1313 (which might not be cancelled/abandoned after all)

Pirates of the Caribbean Armada of the Damned
Thank you GeorgIsMe, it's been so long I even forgot the name of the game. I was really looking forward to this.

Champions. Not the MMORPG but the original one from like the late 80s which a major contributor to the notion of the "superhero curse". I think I learned what vaporware was from this game.

Yea, I'd say Lord of the Clans back in the day. Now, though, I think I'm glad it got cancelled.

Two come to mind.

Star Trek: Secert of Vulcan Fury (all the main cast had recorded dialogue, so it was Kelley's last work)
Babylon 5: Into the Fire

The Getaway 3. The first Getaway is one of the best GTA clones ever made (in my opinion) and the sequel featured improved gameplay, albeit a weaker story as well. There was a tech video showing off The Getaway 3 for the Ps3 but the game was eventually shelved. Maybe it'll be like Sleeping Dogs (which apparently started off as a True Crime game before that series died off) and show up years later under a new moniker but I doubt it.

Sacrilegium seemed like it had potential based on what little I've seen of it, but as far as I can tell it's in development hell.

Human Ressources a wickedly twisted RTS from Uber Enterntainment that failed on the kickstarter.

Youtube video: https://www.youtube.com/watch?v=oNZ7oto4z4A

Warcraft Adventures
Starcraft Ghost

also:

Duke Nukem Forever (the first old one, not the crap that came out more than 10 years later).

Here you go:
http://www.moddb.com/mods/duke-nukem-forever

Interesting!

But... I wanted this in the early 2000s. Won't be same now :(

So much

While we're at it, The Lost Vale. Destroying the project after completion just because Ultima VIII sales didn't meet EA's expectation was a terrible thing to do.

Bioforge Plus or Bioforge 2 from Origin Systems > which was disbanded by Eviltronics Arts because they know what is best for us gamers ;)
Trailer - direct continuation right after the end of Bioforge 1.

Same goes to Dungeon Keeper 3: War for the Overworld by Bullfrog Productions.
Trailer

Hmm... don't know does Portal qualify? (No, not the one by Valve, stupid, that one was actually released. I'm talking about the remake of a game fom 1986 by the same name that was never started because it didn't gain enough popularity on Kickstarter.)

Road to Moscow. It was a strategy title being worked on during the late 90s. Got into development hell and finally got cancelled around the early 2000s. Road to Moscow was being pitched as having real time feedback from commanders, realistic supply and OOB system, and a kickass AI. It was like the Decisive Campaigns games on steroids... and in the late 90s no less. I was sad to see that it never got finished.

IGN still has a section for it after all these years (with a few screenshots).
http://www.ign.com/games/road-to-moscow/pc-11163