Matt Le Tisser comes to my mind. He is surely the most gifted player never to win a medal. Who else ?
Not just dead ball but in overall ball control and technique he was the best in England over the last 20 years, along with Paul Gascoigne.
The great Beppe Signori never won a single medal in his career despite being one of the most prolific strikers in Serie A history! What a shame. He didn't have that many caps for Italy either, they had so many great forwards in the 90s.
Ermindo Onega. Arguably the best Argentine player of the 1960s and never won a thing (only an Argentine league title in 1957 at age 17 and without playing any games). Other than the Nations Cup in 1964 with Argentina, but it was a friendly tournament.