LYS & TRN - both cities high on my to-do list but flights to them have always been with the purpose of hopping on a transfer to nearby ski resorts. Same for FAO and LCA for beach resorts.

ZRH & ORD - have connected through them but never visited the cities, plus similar to dougzz for EWR.

MME is an interesting one as it depends on what one's definition of the city is. I used it once when studying at Durham, when it was known as Durham Tees Valley, and it is in County Durham - but if one considers it as the airport for Middlesbrough, well I have never been there.

Then there are the Ryanair secondary airports - have never set foot in Charleroi or Treviso despite having flown through their airports - am sure there are a lot of cases like that!