Recent example: The Libertines
"What a Waster", their debut single, wasn't originally on their first album (it is on later versions as a 'bonus' final track)
"Don't Look Back Into The Sun" wasn't on any album
however, I have to say that personally I'm in the "they SHOULD put it on the album" camp. I think if you shell out for all of a band's albums, then you should at least be in the position to own all their hits.
classic example: "Jumpin' Jack Flash" Was recorded at the same time as "Beggars Banquet" but was only a single, not on the album (which despite it's loss still manages to be the greatest album of all time IMVHO)