It's interesting to see so many people mention Arsenal and or Chelsea. Something interesting to note is that, no capital of a democratic country has ever had a team that won the European Cup. In fact the only European capital to have won it is Madrid. A capital of a formerly fascist country. Where as. the smaller industrial towns have won many, Manchester, Liverpool, Milan, Munich. Etc, etc...
That having been said, I think Arsenal are far and away the best to never have won it.
Ajax- Amsterdam= Capital of Netherlands?