Some albums are lost only in name like "The Great Lost Kinks Album" - which is more like a bootleg and you can easily find it on the intarwebz if you know where to look. In at least 3 different versions... Plus it was released in the US until Ray Davies became aware of it's existence and thus it was deleted soon after that and instantly became a collector's item.
There is one Weezer album whose original master tapes accidentally fell into a black hole, the aptly titled "Songs from the Black Hole".
Some lost albums were leaked through file-sharing sites like David Bowie's "Toy". Maybe he himself was responsible for the leak because in that special case this album wouldn't have seen the light of the day otherwise. See also Fiona Apple's "Extraordinary Machine" [Jon Brion version]. But in that case that album eventually got re-recorded with a different producer (despite the leaked version being easily available at the time - it still is!).
Prince's initially shelved "Black Album" finally got its release in 1994 - by then nobody cared anymore.
There are some albums which some people think are "unreleased" official albums but are in fact fan-made rarity collections like The Mars Volta's "A Missing Chromosome".
"The Silent Corner and the Empty Stage" can be called a VdGG album that wasn't, or: a "lost" band album so-to-speak. Well, one can easily assemble one or two more "lost" VdGG albums this way...
Oh, almost forgot the legendary Beach Boy's album "Smile" that ended up getting released as a Brian Wilson Solo record in 2004 - of course his voice has deteriorated since 1967 so it's not quite what if would've sounded like if he recorded it back then. But it's a great record anyway IMHO.
Then there are a few albums that never got released due to the artists incompetence, negligence and scatterbrainedness. I am one of those artists and the album I am about to finally release now is actually an EP. It's called "Under the Surface" and was recorded on March 28 2009. There are almost no edits and apart from the splitting into 4 parts it's one continuous recording. The closest I ever got to making a live-album.
Here it is - in all it's earbleed inducing glory:
Edit: minus removed the ability to download all files from a folder in one zip archive. They also removed list view and other cool features. That's why I won't upload anything to Minus anymore. Just a few weeks ago it was of the best free filehosting services, but that is over now. Back to Mediafire and 4shared for now. New kid on the block Moonberri.com also looks promising.
(download link has been disabled)