I just want to thank everyone who's contributing to the conversation, there are already too many posts and games to address them all individually, but I can already see a ton of remarkable stuff to check out. :)

Thought of a few more:

The Island of Dr. Brain (1992)
Chewy: Esc from F5 (1995)
American McGee's Alice (2000)
Heavy Metal F.A.K.K. 2 (2000)
The Hobbit (2003)

No idea about "good", but they look "interesting" to me:

Cadaver (1991, probably better on Amiga though) + Cadaver: the Payoff
EcoQuest: The Search for Cetus (1991)
Cruise for a Corpse (1991)
The Summoning (1992)
Ween: The Prophecy (1992)
Daughter of Serpents (1992)
Frederik Pohl's Gateway (1992)
Gateway II: Homeworld (1993)
Solar Winds: The Escape (1993)
Solar Winds: Galaxy (1993)
Lost Secret of the Rainforest (1993)
Pepper's Adventures in Time (1993)
ShadowCaster (1993)
Blue Force (1993)
The Clue! (1994)
Death Gate (1994)
Shannara (1995)
The Bizarre Adventures of Woodruff and the Schnibble (1995)
Druid: Daemons of the Mind (1995)
The Gene Machine (1996)
Bud Tucker in Double Trouble (1996)
Indiana Jones and his Desktop Adventures (1996)
Star Wars: Yoda Stories (1997)
U.F.O.s (1997)
Dark Earth (1997)
The Fifth Element (1998)
Heretic 2 (1998)
Technomage: Return of Eternity (2000)
Oni (2001)
Darkened Skye (2002)
Archangel (2002)
The Simpsons: Hit and Run (2003)

Came here to say No One Live Forever, which has been mentioned, but also Ultimate Spider-Man for me, I know it's abandoned now but I'd love an official version that includes modern controller support.

It was a while ago, but remember it was a fun game and a little different from most adventure games.

Discovery: In the Steps of Columbus, which was an early-ish Impressions strategy game made by the same team that developed the original Caesar which was released the same year (1992). Kinda neat back in the '90s, but probably wouldn't hold the interest of many who didn't play it back then (objectively, it seems to have been thought of as mediocre-to-poor in its day). I still like the way the terrain and structures scrolled over the horizon as your map view moved, though. Also, if I remember correctly, it wrote save data into the game's executable file, which might complicate any potential low-effort re-release that someone might otherwise contemplate (I don't know if it would be trivial to change that not).

So?

Topic title requested 'old games which currently aren't sold anywhere'...

Loved The Magic Candle 1 and 2, never got around to playing 3 way back when. To me these scream to be on GOG.

I couldn't remember the name of these two earlier on, but now it came to me - these might be interesting as well:

Ecstatica (1994)
Ecstatica 2 (1997)

History Channel Civil War is a game that's not for sale anymore and it's CD-ROM version is only properly playable on Windows XP (and older, probably).

I really wish The Lost Files of Sherlock Holmes: The Case of the Serrated Scalpel was sold here.

These games are my retail only games with no digital alternative (at least for PC):
Outrun Coast 2 coast 2006
Donald Duck Quack Attack
Chrome SpecForce

PlayStation 2 version of that game is one of my most played console games.

And the Xbox version of that is another one of my favourite console games.


And while we are on the subject of racing/driving games, how about the old Test Drive series?
Those games should be made available again!

And Geoff Crammond's Grand Prix series too, obviously.

Wizardry 4 is a nice, though rather challenging, adventure game that's disguised as an RPG. The idea is that you're the evil wizard Werdna, and before the events of the story, an adventuring party rudely interrupted your research on an amulet, defeated you in battle, and stole your amulet. Years later, you've woken up from your coffin, at the bottom of a 10 floor dungeon filled with do-gooders who are out to get you (along with the ghost of your rival Trebor, who will *kill* you if he catches up to you), and YOU WANT YOUR AMULET BACK! So, with the help of monsters that you summon from pentagrams, your task is to escape your prison and retrieve the amulet.

Combat plays like in other classic Wizardry games, except that you're on the monster side, and you only get to control yourself, not your summoned monsters. On the other hand, the game is filled with some difficult adventure-game style puzzles. Be aware, however, that the game can get quite mean at times. (If you've never had a game over as a result of an enemy casting MAKANITO, you have not played the game enough to judge it fairly.)

Fortunately, the game does offer 8(!) save slots, with the option to copy saves to other disks if that's somehow not enough. Also, unlike other classic Wizardry games, there's no permadeath style autosave system, so even if you manage to teleport yourself into solid rock, you can just reload your last save and continue from there.

Note that it is recommended to play Wizardry 1 (also, I believe, not sold anywhere) first.

If you're going to mention this game, it's perhaps also worth mentioning Unlimited SaGa, another game by the same developer, which didn't sell well due to its rather unusual and obtuse game mechanics. (Many players, for example, had difficulty opening up treasure chests, and the way health works is more complex than in other RPGs, as characters (and enemies!) can still continue to fight at 0 HP.)

Don't forget Chaos Strikes Back, a stand-alone expansion to Dungeon Master which has an incredibly complex and non-linear dungeon to explore. It's also more chaotic, with certain items being placed in ways that might as well be random (they're initially on gigglers in unreachable areas, but then they move and are teleported), and with each branch of the dungeon sending you to different starting spots with invisible silent blinking teleporters.

(Game never got a DOS release.)