Woodchester Mansion, Gloucestershire.
This mysterious building was never finished - the builders left in part-built in 1873 - this has led to all sorts of stories, such as of it being haunted - most likely the builder ran out of money. It is certainly a very atmospheric building with floors and staircases missing, fireplaces half way up walls and dramatic gargoyles.
Today it is being preserved but not finished - you can even attend Rocky Horror picture show nights or ghost tours in the building!
See : http://www.woodchestermansion.org.uk/HomePage.aspx