The Superman (Lost Comic; 1933)
Superman needs little to no introduction. He remains one of the most recognizable pop culture icons and is considered one of the first "true" superheroes.
Most Superman fans know his "official" debut was in 1938 with Action Comics No. 1. What many people don't know is that the Man of Steel had 2 other known (or, in this case, at least planned) appearances before this issue. One was a depiction of the character as a villain in a short story called The Reign of the Superman dated for June 1933. This short story, though extremely rare in physical form, is readily available online.
Superman's creators, Jerry Siegel and Joe Shuster started playing around with the idea of making the character a hero instead of the villain. They got in touch with publishing company, Consolidated Book Publishing. The duo worked enthusiastically and hard, even receiving a promising letter for publication. Eventually, though, Consolidated pulled out, leaving Siegel stressed. After trying again with a few other publishing companies that denied them, Siegel threw the entire issue into a fire out of rage and frustration. It wouldn't be for another 5 years that the hero would finally see his first publication.
Today, all that survives of this comic is the cover, where Superman is seen in an entirely different design (notably capeless). Little is known about its plot, or what other character designs may have looked like. Collectors and historians have contacted multiple sources of whom may hold a copy. It is more than likely, however, that this work is forever lost due to its creators' shame and rage.