#1 Kurt Angle

Kurt Angle has accomplished almost everything there is to do in WWE that he is capable of competing for, except for one big thing, winning the Royal Rumble match.
And unlike someone else in a similar situation, the previously mentioned Chris Jericho, Kurt has never actually come close to winning the match.
He was the last superstar to be eliminated in the 2002 Royal Rumble, but that was always destined to be Triple H.
Angle only ever competed in two more Royal Rumble matches, in 2004 and 2005, but he was never considered for either of them.
And like others mentioned here, to be fair, it may have just been the wrong time for Kurt Angle to win a Royal Rumble match as the superstars who did win them between 2005 - 2006 each made sense in their own way at the time.
That said, it is still a major shame that Angle never got to scratch this one blemish off of his amazing career highlights in WWE.