The most interesting for me tends to be ancient knowledge that was lost, of technology and history.
On my list would definitely be those great ancient libraries that were burned, especially the ones at Alexandria and Baghdad. So many advances in science, books/scrolls about history...
Second would be religious books condemned by early Christians. There were many 'gospels' and stories lost that would have profoundly changed the religious face of the earth.
Third would be musical history. People have been making music for thousands of years, but we only have notes of it from the last couple centuries, plus sporadic findings of older music. Music wasn't widely written down and copied until the days of the printing press, and even then it was mostly religious music written for people like the Pope and royalty. I wish we had sheet music from the middle ages and ancient Rome. How many great musicians have been forgotten, their works lost to time?
After that, I would really want to find history from the conquered peoples of the Americas. Unfortunately most only kept oral histories, and preferred to teach by necessity, so almost all pre-colonial history is lost. Larger civilizations like the Maya and Inca had physical records, but a lot of that plus the oral history was destroyed through time and war.
I like to wonder what differences lost knowledge could have made. If Nikola Tesla hadn't lost his research and lab to a fire, we might be fighting with Plasma Rifles and flying in Hovercars by now.