With the recent announcement that Gygax Games has terminated Troll Lord Games' license to continue the Castle Zagyg project, I was reminded of several other D&D products that were promised in the past but never came to past.
1. Castle Greyhawk: Unsurprisingly, the top spot on the list goes to Castle Greyhawk, which Gary had been promising to publish since shortly after the publication of the World of Greyhawk folio gazetteer in 1980. In the years since, there have been at least products that called themselves "Castle Greyhawk." None involved Gygax in any way and one (Castle Greyhawk in 1988) was in fact a humorless parody that many took as a deliberate attempt by TSR to belittle and insult him, who had recently been ousted from the company. Castle Zagyg is the closest we ever got to a "true" Castle Greyhawk product and, as of this time, its future is very much in doubt.
2. City of Greyhawk: Gary also promised the publication of a product detailing the City of Greyhawk, which never materialized. A boxed set detailing the city was published in 1989, but Gygax was not involved and its content is a very mixed bag in my opinion.
3. Shadowland: Another long-promised product was an adventure/sourcebook detailing the Plane of Shadow. A collaboration between Gygax and Skip Williams -- or at least it was supposed to be at one point -- the product would have given us some detailed information about this mysterious otherworld, one that Gary was very fond of and that owes its origins, at least in part, to one or more stories of Abraham Merritt, an author whom Gygax consistently claimed was an influence over the development of D&D.
4. D&D Companion: Had the Moldvay/Cook rules been completed, there would have been a third volume entitled the D&D Companion that would have fleshed out characters up to level 36. While the third volume of the Mentzer rules set was called the Companion Set, it covered only levels 15-25 and, by all accounts, was a wholly original creation that owed nothing to the plan for the follow-up to Moldvay/Cook (if indeed there were such a plan at all). Much as I sometimes talk smack about Moldvay/Cook, I find those rules much more appealing than Mentzer's, which, while praiseworthy in many, many ways, are even more mass market consumer products than their predecessors. Even more significantly, I don't think much of the Master/Immortal endgame of Mentzer and would much rather have seen a Moldvay/Cook-style one, which would have almost certainly been more in line with my tastes than the superpowered conclusion to the mid-80s boxed sets.