As far as my hometown of Decatur goes, it's definitely the original Morgan County Courthouse:
Alabama Archives
One of Tuscaloosa's big losses was the original main library on the campus of the University of Alabama, it was modeled after the main library at UVA:
Thanx to the Union Army, we no longer have this structure on campus
Alabama Heritage
Perhaps Birmingham's greatest loss was the Birmingham Terminal Station. It was torn down... they were supposed to build a larger better terminal. Obviously, that didn't happen. I think something like a junk yard now sits on the property! Exciting! The tunnel you see in the picture is now used as a redundant underpass for the Elton Stephens Expressway that runs vertically on the eastern side of downtown.
Depots in Alabama