Well, there was this CD-ROM-based add-on for the SNES. It was a joint-effort between Nintendo and Sony, but the project was scrapped after third-party issues leading to the Japanese gaming giant going to Philips, resulting in the unsuccessful CD-i console. From there, the original PlayStation was developed. Recently in February, Steve Lin from GREEGames had put up scans of the SNES-CD's technical documents online.
Then, there's the Sega Pluto, a variant of the Sega Saturn with a new look, a built-in NetLink modem, and it was to have its own set of games. Only two prototypes were made. It was scrapped due to the PS1's overwhelming success in the U.S. market and the Sega NetLink service not being the most reliable.
Last year, the prototypes had surfaced after over a decade of obscurity. I've seen one of them pop up on eBay a couple of times, and the seller asked for plenty of money.