#3 Randy Savage

The 'Macho Man' Randy Savage is one of the greatest performers in wrestling history, some feel the greatest, yet somehow he never won the Royal Rumble match.
Randy Savage entered five Royal Rumble matches and would have been the ideal candidate to have won any of them.
What was Sabu really like? More info HERE.
In my opinion, the best time for the former WWE Champion and WCW Champion to have won a Rumble should have been 1993.
Although Rumble winner Yokozuna is one of the greatest big men performers of all-time, his WrestleMania main event at WrestleMania IX was completely squandered.
And because of this, I fell they could have had far better booking options with the main event being Savage vs. Bret Hart for the WWE Championship, or something with Hogan being involved too, as that is what happened with Yoko.
Regardless, the fact that the 'Macho Man' never won a Royal Rumble is still crazy to this day.