The original G1 Megatron, for obvious reasons. As far as characters who've never had a toy, I'd say...
* G1 Arcee; and part of me actually wants a Headmaster Arcee. I would seriously consider getting one if they made her in Titans Return.
* Emirate Xaaron. I used to have this generic yellow rubber robot toy that I used as Xaaron when I was a kid.