Characters who haven't appeared in live action:
Forge, Thunderbird, Sunfire, Marrow, Sage, Mimic, Changeling, Rachel, Joseph, Nate Grey, Hope, Longshot, Maggott, Synch, Monet, Husk, Trinary, Elixir, Hellion, Surge, Armor, Rockslide, Stacy X
Mr. Sinister, Sauron, Mojo, Spiral, Avalanche, Destiny, Ozymandias, Bastion, Mastermold, Garokk, Sugar Man, Omega Sentinel, Fei Long
In terms of "X-Men" most of the important ones have been adapted in some way. But I hope Angel, Psylocke, Dazzler, Gambit, Polaris are finally adapted as part of the X-Men. Of the ones that haven't been adapted yet - Forge, Thunderbird, Sunfire, Sage and Marrow are must haves!
With villains, Mr. Sinister and Bastion. I want to see the most.