Since 2000 the only clubs not to make a GF are Cronulla-Sutherland, Gold Coast and Canberra but there's a good chance 1 or both (or neither) will make the 2016 decider.
The only teams not to win a GF since 2000 are Canberra, Cronulla, Gold Coast, Parramatta (made 2 GFs), Warriors (made 2 GFs).
However, in that time frame (since 1985), both Parramatta have won (1986) and Canberra (1989, 1990, 1994 and were beaten Grand Finalists in 1987 and 1991). Cronulla-Sutherland made it to the SL GF in 1997.
Pretty good IMHO.
We could split hairs: since 1985 Western Suburbs Magpies, Illawarra Steelers, North Sydney Bears, Hunter Mariners, Adelaide Rams, Gold Coast (three incarnations), Sth Qld Crushers, Western Reds and Northern Eagles never competed in a GF. LOL. Balmain Tigers made it in 1988/89 and St George made it 1992/93 and 1996.