Stanley Kubrick's 'Napoleon' - No explanation necessary. Link
Orson Welles' 'Heart of Darkness' - Also no explanation necessary. Link
James Cameron's 'Avatar' - I just LOVE the idea of doing an epic alien love/war story entirely set on another planet. Link [update: now in production]
Alfred Hitchcock's 'Kaleidoscope' - Concerning a serial rapist and killer, this could have been Hitch's darkest movie. He also wanted to shoot the whole movie from the killer's POV. Great stuff, but of course it was too ugly and dark for its time, and studio brass turned it down. Link
'Don Quixote' - A literary classic that is the curse of every director that tries to bring it to life. Orson Welles tried it, and failed. Gilliam tried it decades later - the resulting failure produced the documentary 'Lost in La Mancha'. It's a movie that defies its directors to be made. Link
Terry Gilliam's... Everything - Gilliam is an exciting and imaginative filmmaker. He's also been involved in more projects that failed to get the final green light than anyone I can think of. See the long list of really great projects that never quite made it: Link.
Carl Dreyer's 'Jesus' - I still hold that a decent & reasonably accurate account of one of the best stories ever told (whether you believe it's true or not) has not been filmed. But if anyone could've made an excellent and challenging spiritual drama, it would've been Dreyer. Link.
David Lean's 'Nostromo' - He was developing Joseph Conrad's epic Nostromo when he died in 1991. Could've been another Bridge on the River Kwai or Doctor Zhivago. Link.
Andrzej Munk's 'Passenger' - Andrzej Munk died during filming from a car crash. What survives of Munk's work is brilliant, what was 'filled in' to copmlete the film by Witold Lesiewicz is, well, not Munk's movie. Link
Lem Dobbs' 'Edward Ford' - A really, really great script. I can understand while certain other projects on this list didn't make it, but this one dumfounds me. Certainly this would have at least as big an audience as his other projects, like Kafka, Dark City, and The Limey? There's hope for this one yet. I have a copy of the script if you want to read it. Link
'The Catcher in the Rye' - Several directors have been interested in developing an adaptation of this classic novel, but the author isn't too keen on the idea. Link
David Lynch's 'Ronny Rocket' - David Lynch's script for a followup to Eraserhead has floated around Hollywood for 20 years and never quite gotten the green light. Link
Ray Bradbury's 'The Dreamers' - A terrific novel and a terrific script for this promising supernatural thriller couldn't attract any Hollywood talent in 1958. Link
Disney's 'A Princess of Mars' - This would have been the first animated feature, before Snow White, had it not been scrapped. And back then, Disney was making really good movies. Link
Benjamin Christensen's 'The Saints and The Spirits' - Christensen intended, and began to shoot a trilogy of spiritual investigation films that began with the amazing Haxan, but the two followups were never realized due to a financial crisis.
Sergei Eisenstein's 'Que Viva Mexico' - The maker of the superb The Battleship Potemkin wanted to make a social history of Mexico, but couldn't get funding. Some footage was actually shot, and revealed the film's innovative approach, but his full vision was never realized. Link
James Cameron's 'Spider-Man' - Despite True Lies, I have faith that James Cameron's Spider-Man would have been far superior to what Raimi has given us. Link
All of these sound very different then the stuff that comes out of Holly wood now adays.