The first three that come to mind are Ghaul, Quria, and Panoptes. Ghaul felt like a great villain early on cause he wanted to earn the Light legitimately, and while you could argue that he was ultimately pressured into taking it by force, I think that soured his character a bit. Plus, he had to be stopped by the Traveler itself once he did so, which showed that he was a legitimate threat, but nothing more came from that. I've been hoping that he'd return in some capacity during Final Shape, perhaps acting as a guide like Red Skull was during Avengers: Endgame, but the closest we got was his apparition during Season of the Therapy (still good character development for Caiatl though). Quria had a ton of buildup during D1 has some kind of trump card for Oryx in order to get 1-up on Savathun, only for her to use it to curse the Dreaming City during Forsaken then discard it during Splicer. I personally didn't mind Quria getting offed in a seasonal story, but it just felt forced and left a lot of loose ends handing. Panoptes was just underdeveloped. It had the potential to be a threatening enemy but it just gets immediately scrapped in the last mission to what was already an underwhelming campaign. I can't recall if it even had more lore to it beyond the campaign given how forgettable S2 was in general.