They don't have to be bands who never ever got any airplay(although they could be that too)just ones that very rarely got played(or maybe only on college stations). When I say popular I just mean behind the small bar/ small club circuit and had albums that sold at least 100,000 copies or so and most music fans would have at least heard of them. 

Some that come to mind for me:

Metallica  -Even before the black album they were popular in my high school. I never heard them on the radio until probably the early 90's.

Iron Maiden- Played even less on the radio than Metallica and were still big in the eighties. I don't think I heard any of their songs back then on the radio.

Nine Inch Nails - I remember a dj telling a woman who called in saying they don't play them. I really don't remember hearing them on the radio until at least the mid to late 90's.

The Grateful Dead- I don't even hear them much these days on the radio. I did at one point but the reason I am including them here is because even if they weren't played on the radio they would still have a huge following. I don't think their big following has much to do with airplay. In fact, many of their fans probably don't even listen to the radio. 

Phish- Ditto above

King Crimson- Yes, you read that right. I think I can count on one hand the number of times I've heard them on the radio outside of specialty shows or college radio etc.

Television -Outside of independent or college radio you will never hear them on there and yet in some circles they are mentioned along side the Talking Heads, Blondie and other bands from the late 70's(especially the NYC scene).

New York Dolls - Ditto above only they were a little earlier.

Kiss- Kiss has a huge following but you don't really hear them much on the radio at least not to the point that would lead to the amount of success they have had(see Grateful Dead).

Plus a lot of punk bands. I don't pay that close attention to punk but I would imagine a lot of punk and post punk bands would qualify.

Gentle Giant- Aside from KC I think GG is one of the few prog bands who should be on this list. They were fairly big at one point but not as much as the top five(or whatever)of prog but enough so that they deserve a spot on here.

Edit: I just realized Renaissance should be on here too. They had albums that charted in the US and had a big following in certain spots but were never played much on the radio. I think when I lived in NY I heard them on the radio once or twice.