The Sega CDX. I had a Genesis, I had a Sega CD, but the thought of having both of those systems combined into one compact unit that also could be used as a discman (a really bad one, even I knew that at the time) was so appealing to me. There was one at the local game store for some absurd price ($350 I think) for literally years, and I would salivate over it every time I went in the store.
Ultimately I never got one, but at least I didn’t miss out on any games or anything.