The Smithsonian has a nice list. of ten books known to have existed that are lost to us now.
1. Margites, a comic epic poem, by Homer. Aristole loved it.
2. There are more than twenty books that the Bible mentions by name that have been lost including "the “Book of the Battles of Yahweh,” a “Book of the Chronicles of the Kings of Israel” a “Book of the Chronicles of the Kings of Judah" and the “Book in Seven Parts.” There are a number of other apopcyphal books of the New Testament (some preserved in complete or near complete form and others lost except their names) and some included in Catholic or Orthodox Bibles (often called deuterocanonical in that context). The canon development process is to my mind, one of the more fascinating episodes in intellectual history. Some books which were seriously considered for the New Testament canon but didn't make the cut include the Acts of Pontius Pilate, the Valentinians Gospel, the Shepherd of Hermas, Barnabas, Didache, I Clement, Revelation of Peter, the Gospel according to the Hebrews, the Gospel of the Egyptians, Preaching of Peter, Traditions of Matthias, and the Sibylline Oracles, Apocalypse of Peter (which is the source for much of the imagery of Hieronymus Bosch), and Acts of Peter. The Book of Revelation probably came closer than any of the other canonical books to missing the cut and was probably written by an author outside the religious community shared by the other New Testament writers, probably a late 1st century Jewish Christian.
3. Cardenio, a Shakespeare play performed in 1613, somehow related to the Don Quixiote story written a year after that was translated into English.
4. Inventio Fortunata, a (somewhat inaccurate) geography of the North Atlantic and Arctic written by an Oxford University scholar around 1360 CE.
5. The Isle of the Cross, a story of a lighthouse keeper's daughter who saves a sailor and falls in and out of love with him by Herman Melville was submitted to a publisher in 1853 but suppressed by the publisher, probably out of fear of libel suits from thinly veiled real people described in it.
6. Ernest Hemingway’s lost World War I novel from 1922. His wife put it in a suitcase when she came to visit him and lost the suitcase.
The Smithsonian also lists a famous first draft of a book that was rewritten, a first book of an author who later became famous, and some books left unfinished when their authors died, but those don't quite my imagination the same way.