Apart from the legendary video nasties list, I happen to have one for movies that are/were banned and *still* haven't been released in the UK yet. dunno how up-to-date this is:
The Awakening of Emily (1976)
Bamboo House of Dolls (1974)
Bloody Friday (1972)
Brute Corps (1972)
The Case of the Smiling Stiffs (1973)
Cocksucker Blues (1973)
Human Centipede II (2011) - Necro sidenote: Unbanned as of Oct 2011
Mother's Day (1980)
The majority of those are obscure exploitation films that either haven't been sent for reclassification since... or nobody has bothered to release them.
Cocksucker Blues, a Rolling Stones documentary, has a funny story behind its "banning": Rather than being refused classification by the BBFC, it's illegal to be shown because the Stones (who commissioned the film) filed a court order against its release. Now it's technically only legal to watch it if the director is in the same room as you.