Game Boy "Indiglo" Light.
I walked into a random shop one day and inquired about one they had behind the counter. They took down my number and said they'd call me after it had been tested.
Never happened

.
I also can't justify spending more than $50 on one (especially when Game Boy Pockets can be modded to better effect).
Brigandine (PS1).
I've come to terms with never owning this game. I'm pretty sure I had a couple chances to nab it at a decent price too (~$30). I was swayed by a negative review about it back then. I shall never trust another.
Keio Flying Squadron (SCD)
I have NEVER seen a copy of this game IRL. Sega CD games used to be (and still is probably) the 1st thing I run to in a used game section, so I've seen my share. Blue plastic cases just glow for me (followed shortly by white cases

). But not in any of my searching did I ever even catch a glimpse of this quirky shooter.
-----also
Snatcher, but I don't want to talk about it------
Turbografx ANYTHING
This was just never fun enough to even consider collecting for. I did run into a bare system once (no power cord, no controller, no A/V cord) at a Goodwill once, but passed as I just never see games for it. I kind of regret it now, because nowadays, a TG16 with a flash card could be quite satisfying.
Giga Wing 2 (DC)
I have a very respectable (IMO) Dreamcast collection. I acquired a good amount of quality games back when it was at the dying end of it's life cycle. But I never found a copy of this and is just too hard to hunt down these days. It's not grotesquely expensive online, but not worth the dollars it commands to me.
I could list a dozen others (and may yet), but I'll stop here.
...just another lost soul...