Yep, they were the two I instantly thought of as well. Safin in particular, he had almost everything you could ever want but just has never been able to put it together consistently.
Philippoussis is probably the best player of the last 10-15 years to have never won a slam. Was never going to be a great of the game (which Safin could've been), but should've reached a level similar to what Roddick has with a couple of slams under his belt.
A player out of left field - Paradorn Schrichapan. When he was first breaking though I thought he was going to be the first asian player (not counting Chang) to be a contender on the mens side. He made big moves a few years ago, but just fell away after that and I don't even hear from him anymore.