Death in the Dragon Ball universe is often a revolving door, with many characters returning from the afterlife to either save the day or make trouble for the Z fighters. Considering this, it seems a bit strange that King Cold, Frieza's father and former emperor of the Universe, was never brought back. He was a formidable enemy, so what happened to him?
King Cold was born with abnormally high power levels -- much higher than was typical for the rest of his species. Unfortunately, he was also born with a natural aptitude for cruelty. It seems to have run in the family-- his ancestor, Chilled, was likewise a nasty and powerful specimen. Power and mercilessness went hand in hand with King Cold, and before the events of Dragon Ball unfolded, he managed to conquer the vast majority of Universe-7.
King Cold went on to have a couple of kids: Cooler and Frieza. While he was, for lack of a better term, cold to Cooler, he spoiled Frieza rotten. No doubt this pampering is what pushed Frieza's entitlement and cruelty to the next level. At some point, King Cold retired and put Frieza on the throne in his place, and Frieza went on to be an even crueler and more vicious ruler than his father had been.
Of course, things didn't end well for Frieza -- or for his old man. After Frieza's defeat at the hands of the Super Saiyan, King Cold's underlings collected Frieza's remains and resurrected him as a cyborg. Together, father and son planned revenge on the Z fighters, pledging to return to Earth and wreak all sorts of havoc. Shortly after they arrived, however, Future Trunks appeared and effortlessly killed Frieza.
King Cold's arrogance was the root of his downfall. Convinced that Trunks' sword was the source of his power, he tricked Trunks into handing it over for him to inspect. After attempting to attack Trunks with his own sword, Trunks promptly killed King Cold, just as easily as he'd killed his son.
Why didn't King Cold ever come back? The basic explanation is that Frieza didn't want it. During the events of the Dragon Ball Z: Resurrection 'F' movie, Frieza found himself revived after his underling Sorbet wished it using the Dragon Balls. Sorbet asked Frieza if he wished for his father to be brought back at a later date. Frieza, power-hungry as always, decided it was better to let his father rot in hell so that he could rule unchallenged.
If King Cold's arrogance was what killed him, it was his shortcomings as a father that prevented his resurrection. Perhaps if he hadn't spoiled Frieza so much, his son would have been interested in saving his father. That's the downside of raising a genocidal alien monster for a successor.
For fans of Super Dragon Ball Heroes, however, King Cold's saga wasn't quite over. King Cold found himself transported to the Prison Planet, where he and his army quickly gained a lot of ground. Somewhere along the way, he managed to get the Four-Star Special Dragon Ball. After being attacked by Hatchiyack, King Cold made a deal with his son Cooler and Trunks, promising to give Cooler his Dragon Ball if he helped him out. After defeating the ghost warriors, King Cold attempted his usual double cross maneuver, letting Cooler know that he wouldn't get the Dragon Ball. It was then that Hatchiyack appeared out of nowhere and killed King Cold. He didn't get resurrected this time either.
In every Dragon Ball continuity, King Cold was marked by his cruelty, lust for power and complete lack of honor and loyalty. In the end, though, it was his own failures as a parent that stopped him from cheating death... or, depending on your perspective, Frieza is just a terrible son.