Don Cheadle.
You know what, I'm going to expand on this, because saying someone should have won an Oscar is like saying Dan Marino should have won a Super Bowl. You can have undisputed, exceptional talent, but sometimes you (and your supporting cast) just aren't quite good enough to beat the competition. Sometimes it just isn't your year.
For example, had Devil in a Blue Dress come out a year later, I would definitely argue that Don Cheadle should've won best supporting actor over Cuba Gooding Jr. in Jerry Maguire. But it came out in '95, and so it's arguable that he should've even been nominated that year.
2004, he's on the doorstep for his great performance in Hotel Rwanda, but unfortunately he was up against the Ray-Charles-posessed body of Jamie Foxx.
He couldn't win best supporting for Traffic because Benicio Del Toro is so great in the same movie.
I think he could've been nominated over Ed Harris in '98 for the Out of Sight (Harris was solid in The Truman Show, but Oscar-worthy? Really?), but he'd still lose to Coburn in Affliction.
So, damn, I want to say Cheadle "should" have one, based on his talent, but the timing sometimes kills you.
I think I could make a better argument for Sam Rockwell, who maybe should've taken it (and definitely should've at least been nominated above Jude Law from Cold Mountain) in 2003 for Confessions of a Dangerous Mind (although Ben Kingsley probably should've won instead of Sean Penn).