If you haven't seen Charles Band's film Blood Dolls, you are missing out. It's one of the most messed-up horror films by one of the most messed-up horror directors ever. The movie features a psychotic business man who keeps a girl band in a cage in his bedroom, using them as a jukebox whenever he shocks them. Despite their music being a big part of the movie, a soundtrack was never officially released.
6. The Cure, "All I Want to Do Is Kill Her"
Otherwise known as "All Mine," this song comes from the Pornography era but a studio version has never been released. When a remastered version of Pornography was released in 2005, a live version of "All Mine" was included. However, the best version of the song is the one known as "All I Want to Do is Kill Her," with different (and much better) lyrics. A Russian bootleg of live recordings in the early '80s is what we have to thank for getting to hear this beautiful, rare gem.
5. Sisters of Mercy, "We Are the Same, Susanne"
What list of unreleased music would be complete without Andrew Eldritch, whose catalog of live-only songs has its own entry on Wikipedia? Eldritch is famous for refusing to record another studio album, but regularly plays new material live. Of all the ones I've heard, "Susanne" is my favorite because it sounds like a lost ballad from Floodlands. Only one artist can top Eldritch in unreleased material territory.