One of the best examples of these never-made-films was the Nazi zombie flick Worst Case Scenario more than ten years ago, a project which became a bit of a sensation in pre-production when two extremely well made proof-of-concept videos were put on the Internet (you can find those here and here).
Alas, that project ended up scrapped, but the director of those videos was Richard Raaphorst, and he went on to make Frankenstein's Army.
Recently, he's been involved in projects like The Profundis, and has been setting up the "Mad Scientists Movement", a platform or collective where multi-talented artists can show off their qualities. More about that will follow, but what is cool about this group of people is that they are literally sitting on a veritable treasure trove of designs and artwork for unfinished and/or abandoned projects.
As part of this, Richard just posted some paintings and drawings on Facebook, made for a stalled project called Fungus, and they look magnificent. The film would concern the outbreak of a spore-induced disease, and also be about the people who have to do the clean-up afterwards. Check this gallery of preliminary artwork, done by Richard himself and his partner Sarina Reilingh. Mushrooms, anyone?