Lord of the Rings Online (or Highlander Online, sadly).
CDC Corporation initially entered into an agreement to distribute Turbine's Tolkien-inspired MMORPG to Chinese gamers in 2006. Five years later, the game still has not seen the light of day, and Turbine has pulled the plug on the arrangement as a result. CDC spent approximately $10 million on "licensing, development, and other costs," but has nothing to show for the expenditures.
Don't cry too hard for Turbine, though, as the Boston-based developer pocketed the $4 million non-refundable licensing fee.