#1 Jake Roberts
Jake Roberts' name is almost exclusively associated with the WWE, but during a near 10 year full-time run with the company, he failed to win a single Championship. Roberts was a huge star attraction, and his grasp of wrestling psychology made him a top talent for management as well.
He was engaged in legendary feuds with the likes of Ricky Steamboat, The Undertaker, Randy Savage and was even involved in the match that put over Stone Cold Steve Austin at King of the Ring 1997. Despite being a heel, Roberts was cheered on by the fans even against the WWE Champion Hulk Hogan, which eventually led to his feud with the Hulkster getting scrapped.
Several addictions restricted Roberts' WWE career from becoming even greater, but it is a shame that his time with the company ended without winning a single Championship.