I’m not exactly sure about the definition of lost media. But the first thing I came to think of was the CD-releases from the early 2000s. Like Garry Shider’s two albums, Diaperman Goes Starchild and Diaperman, The Second Coming. And also Kash’s Kash Up Front.
Another one could be GC’s If Anybody Gets Funked Up single that had some interactive stuff. You could see the video and I remember that you could click around and GC would say stuff. It’s not really lost since you can get it from discogs, but you would need a CD-ROM player.. Maybe more the case of a lost media player. 
And yeah, this guy’s recording. That’s definitely “lost media”.