Wikipedia's List of "Lost Work"
Having a pleasant Wednesday afternoon? Prepare to get sad! Wikipedia has an excellent article on lost work, explained thusly: "a document or literary work produced some time in the past of which no surviving copies are known to exist. Works may be lost to history either through the destruction of the original manuscript, or through the non-survival of any copies of the work." It's a staggering list, but for your reading convenience I've gone ahead and collected some of the most depressing items here:
Lost plays of Aeschylus. He is believed to have written some 90 plays of which 6 plays survive. A seventh play is attributed to him. Fragments of his play Achilles were discovered in the wrappings of a mummy in the 1990s. [Higgins: Aeschylus is pictured at right.] Ur-Hamlet - an earlier version of the play Hamlet predating William Shakespeare's version, author believed to be Thomas Kyd. Love's Labour's Won, lost play by William Shakespeare. Maya codices ceremonially destroyed by Diego de Landa (1524-1579), bishop of YucatÃ¡n, on 12 July 1562. At least 27 codices and approximately 5,000 Mayan "idols" were burnt. Memoirs of Lord Byron - destroyed by his literary executors led by John Murray on 17 May 1824. The decision was made to destroy Byron's manuscript journals in order to protect his reputation. Opposed only by Thomas Moore, the two volumes of memoirs were dismembered and burnt in the fireplace at Murray's office. At least four complete volumes and around seven pages of text are missing from Lewis Carroll's 13 diaries, destroyed by his family for reasons frequently debated. James Joyce's play "A Brilliant Career" (which he burned) and the first half of his novel "Stephen Hero" (which may yet turn up) In 1922, a suitcase with almost all of Ernest Hemingway's work to date was stolen in Paris from his wife. It included a partial WWI novel. The manuscript for Sylvia Plath's unfinished second novel, provisionally titled Double Exposure, or Double Take, written 1962-63, disappeared some time before 1970.
If that's not enough, there's plenty more at Wikipedia. (Particularly impressive: lost Biblical texts.)