Roosevelt can't win as the Progressive Party's standard-bearer. If he had won the Republican nomination in 1912, he'd easily win over Champ Clark, though. But I doubt he can seriously win as a third party candidate. The Progressive Party had no party structure or foundation, other than being a cult of personality for Roosevelt to run for a third term. Sure, it elected a few others, but it's base purpose was to elect Roosevelt to another term. Failing that, it of course dissolved.
La Follette can't win in 1924.
Thurmond and Wallace are regional candidates that can't win. Wallace could win, provided he won the Democratic nomination in 1972 or 1976, though. He just can't do it alone.
Anderson can't win alone, and I wonder if he could even win as the Republican nominee.
Perot could possibly win in 1992, but not in 1996. Perot is also guilty of the 'creating a cult of personality and calling it a political party' sin.
Nader can't win.
Everyone seems to be overlooking the Socialist Party of America here. I don't think that Debs could ever have been elected, but I do think that his party could seriously contest and win the Presidency if the Progressive Era is butterflied away. McKinley avoids assassination, the progressives move to the left and join the SPA, and it becomes a social democratic party, with the left of the party forming the early Communist Party. Republicans dominate the White House until the *Great Depression, assuming there is one, and then the Socialists get their chance in power.