#2 The Intercontinental Championship
Another championship that Brock Lesnar has never held is the Intercontinental Championship. He did receive an opportunity at the title in 2002 though when he faced Rob Van Dam for the belt at WWE Vengence, but he lost via disqualification.
Just like the U.S. Title, the Intercontinental Championship is a coveted prize that has been held by many top Superstars namely "Stone Cold" Steve Austin, Jeff Hardy, The Rock, Edge, Shawn Michales, Bret Hart and many others. Superstars such as Chris Jericho, The Honky Tonk Man and Mr. Perfect have been considered by many to be the best IC Champion of all time.
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Even though Brock Lesnar has competed in the main event picture in his entire career, he could've also had a decent reign as Intercontinental Champion. This would've elevated the championship's status and whoever defeated Lesnar would've been a credible champion.
Adding the title to his long list of achievements would've put Brock Lesnar in the discussion for one of the greatest champions in WWE.