Unfortunately as of now, 2011, Schalke has never won the Champions League. However, in 1997 they won the UEFA Cup which has now become Europa League which was the biggest success of the club to date.
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Manchester United have lost the UEFA Champions League final twice. They lost to FC Barcelona in 2009 and 2011.
Four, two with Madrid and two with AC Milan.
Chelsea have never won the Champions League
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With Ryan Giggs, Man U have won 2 champions league title.
Through the 2012 season, the Yankees have played in 15American League Championship Series. They have an 11-4 record.The ALCS started in 1969.
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Only one: Marseille in 1993
AC Milan have won the Champions League 3 times and been runners up 3 times. Prior to that they had won the European Cup 4 times, (which was in fact The same competition, but only open to the winners of each European countries domestic league and was played on a knock out basis.)