In no particular order
Ric Rude
Curt Hennig
Ted Debiase
HHH
And probably not as deserving as the rest but still unlucky
Arn Anderson ( i think he never won the big one)
Tully Blanchard
Scott Hall
I know some will argue with me about Hall but if you consider how long he spent at the top and some of the crappy champions they had both in WCW and the WWF such as Sid and a various assortment of others he was extremely unlucky in never snagging the big one even as a transition champion.