This includes all six films and the Clone Wars spin-offs. Every vehicle I can think seems to have been produced as part of a kit at some point. Are there any that haven't?
As far as I know, all of the most common vehicles have been produced, but I could be forgetting something. There are many obscure vehicles which have not been produced, but I don't see any reason to try to list them all. Some examples would be many of the pod racers from Episode I, many of the hundreds of vehicles shown on Coruscant, or several of the speeders seen in the Mos Eisley approach in Episode IV.
The most notable vehicle that I can think of that has not been produced to my knowledge are the Royal Cruisers from the prequels:
I had previously been mentioned the Nebulon-B Frigate featured in Episode V and VI:
The Nebulon-B has now been produced:
There are quite a few:
The Naboo silver cruisers - I think there were three in all - none produced.
The Jedi speeders, some have been made, but not in all the colours seen in the movies.
And as for the clone wars series, the list becomes lengthy...
The ones from the original 6 movies and that should have been made:
- Naboo queen silver cruiser from episode 1 (with queen handmaid fig(s)!)
- Clone quadrans (if I'm naming them correctly) from episode 2 (the guns taking down a Trade Federation ship)
- Rebel transport shuttle from episode 5 (escaping Hoth) and 6
- Rebel medical frigate from episode 5 and 6
- Mon calamari cruiser
Very optional in my opinion:
- Trade Federation admiral ship
- Trade Federation transport ship
- Separatist cruiser from the opening scene of episode 3
- The two other Naboo cruisers
- A Uta Pau shuttle seen on two or three images (and natives from the planet in the set please!)
- A clone tank seen on two images on a bridge under snow in the order 66 scene
Not ships, but still should have been made:
- Gungan city (and, why not, one big creature carrying their shield generator and one of their catapults)
- A Jedi Temple?
- Geonosis arena beasts
- One of the Skywalkers house?
- Republic Senate with Sidious and Yoda fighting
- Bizarre blue/purple creature on which clones are riding on Felucia (order 66 scene)
- Mustafar locals (humanoids and lava beasts seen on one image)
- Asteroid field locals sheltering Padme at the end of episode 3
- Bantos... Bantas... Ban... you know the big hairy thing the Tuskens are riding in episode 4
TPM: Trade Federation Battleship, Trade Federation Landing Ship, Naboo Royal Starship, Coruscant Air-Taxi
ATOC: H-Type Nubian Yacht
TCW: Trident Drill Assault Craft, Umbaran Starfighter
ROTS: Separatist Cruiser, The Invisible Hand
REBELS: Imperial Interdictor, Mining Guild TIE-Fighter
RO: AT-ACT, TIE Reaper, The Profundity, Hammerhead Corvette, Zeta-Class Imperial Shuttle
ANH: pretty fleshed out
TESB: GR-75 Medium Transport, Nebulon-B Frigate
ROTJ: Mon Calamari Star Cruiser
TFA: pretty fleshed out
TLJ: First Order Dreadnought, Canto-Bight Police Speeder, The Raddus, The Supremacy