#1 Ronaldo
Teams represented in UCL: Internazionale, A.C. Milan and Real Madrid
Not necessarily an iconic figure in the Champions League, like Zlatan and Buffon before him, Ronaldo is easily the greatest to never win this tournament. A two-time Ballon d'Or, FIFA World Cup and LaLiga winner, Ronaldo made 40 odd appearances in the competition but has had nothing to show for it. An electric player, and possibly one of the greatest of all time, he ultimately led to his own downfall and could never reach the pinnacle of European football.
His greatest run came with Los Merengues in the 2003 edition, when they lost to Italian giants Juventus, which set up an all Italian final which Juventus would lose to AC Milan. Fun fact about Ronaldo is that he could have won the Champions League with Milan in 2007, but he had joined in the winter and was cup-tied for having represented Real Madrid earlier in the competition. What a shame.
NOTE: Barcelona didn't play in the Champions League for Ronaldo's sole season their, hence they aren't mentioned in teams represented.