I only know of the books that were planned by Stieg Larrson before he died. It is bad enough that the excellent Millennium trilogy was only published after the author's death, but he was almost done with a fourth book in the series as well. Apparently Larrson was planning on writing as many as ten books in the series and there may or may not be synopses or manuscripts for these floating around, depending on who you believe. The Swedish author, David Lagercrantz, continued with the Millennium series, but he did not have access to Larrson's notes, which is still in the hands of Eva Gabrielsson, the long-term partner of Larrson.

Yes, Kafka left a number of books unfinished when he died from tuberculosis, but famously instructed one of his friends to destroy them. Luckily for fans of literature everywhere, his friend wasn't very reliable and actually published these books. The plot thickens again after that because there were still thousands of unpublished papers by Kafka left when the friend who had them in his possession died. Most of these went to his secretary, who in turn gave them to her daughters. Ever since then there has been a huge legal kerfuffle between the daughters and some libraries over the ownership rights of the papers. Last I heard some were eventually released, but many are still tied up due to legal wrangling. I wonder what Kafka would have made of the bureaucratic nightmare that his unpublished stories caused in his wake!

I'm very sure that there are thousands of authors who pass away without ever completing that book that they have been putting off for so long. If you mean published authors who were actively working on a book, but died so suddenly that they were unable to complete it then the most conspicuous answer would be Robert Jordan. His Wheel of Time series is often cited as one of the best examples of epic fantasy literature on the market, but sadly he died before he could ever finish the whole story. If there is any consolation in this tragic loss, it is that Jordan knew what was coming while writing the final book and made enough notes to ensure someone else could finish it for him.

To ad something that is a little less obvious and well known; I don't think it is common knowledge, but The Canterbury Tales by Geoffrey Chaucer is also thought to be incomplete. I did a little digging and apparently Chaucer only managed to get down twenty four stories on paper before passing away. While this is a fairly large selection, it pales in comparison to the one hundred stories that he originally planned.