Usually gone or retooled for something else. Even just within the Prince of Persia series, they had a game called Prince of Persia: Assassins that was canceled and turned into Assassin's Creed. There was also a sequel to Prince of Persia 2008 in development that was cancelled and never showed up again. You can even find footage from both of these games online, but they will never see the light of day unless someone leaks them (which does happen sometimes).