Charles Gunn - so much more than just "the muscle" there was a lot to explore with Gunn, from his upbringing, to how he found out about vampires, to his unresolved issues with his sister's death, to his inferiority complex over his lack of book smarts (even though he was highly intelligent) to the aftermath of the deal with W&H, Gunn was so underutilized and under-appreciated.
Jenny Calendar - from her background as a Romani to her torn loyalties between her people and the Scoobies, to her magic and how much she actually knew/practised to her relationship with Giles, I really wish that Jenny had been expanded more as a character, and even though I know her death served a big narrative purpose, part of me really wishes she had survived and become a bigger character.
Drusilla - the only one of the Whirlwind who didn't get more expansion, she really deserved more exploration. I would have loved to see more of her life before she became a vampire and more of her as a vampire, especially on her own and as separate from Spike and the Whirlwind. She really could have become a much bigger and more threatening player if the series had allowed it.
Dawn Summers - they could have built so much on her being the Key and had her still have powers which she had to discover. I also loved the development she started to get in Season 7 and I really wish that season had focused more on her and we could have seen her mature more. I was also very much on board with her being a Potential, especially with the whole Summers' blood/made from Buffy angle, as it would make sense that the Slayer power would be passed on that way.
Anne Steele - I love Anne and I love her few appearances in AtS but I wanted more. She really fit in with the characters on AtS and I would have loved to see her return and help them out with cases and become a friend. I feel like there was a lot more to explore and discover about Anne (especially with regards to her background and how she became so alone and lost) and I just wanted more of her!