Here's a useful term, and like so many other coinages in our field, it was invented by Gardner Dozois: Bull Goose Loser.
Have you heard it before? Trust me, everybody who's been nominated for and lost more than five or six Hugos or Nebulas has. The bull goose loser (derived from Ken Kesey's "bull goose looney" in One Flew Over the Cuckoo's Nest) is the guy or gal who's been nominated for more major awards without winning any than anybody else. The list of people who've held this strangely prestigious title include such folk as George R. R. Martin, Gardner himself, Jack Dann, and I forget who else. I myself was a front-runner for the title when "The Edge of the World" copped a Sturgeon and disqualified me. I came close, though. Almost, almost, almost . . .
I mention this not because I just lost another Hugo for "Lord Weary's Empire" in the novella category, but because the fella who did win, Robert Reed (for "A Billion Eves"), was himself a contender for bull goose loser status. A lot of us felt he was long overdue.
So, congratulations, Robert! And my commiserations as well. I know how it feels. Ecstatic, with just a twinge of melancholy.