Get list of unused picklist options

The easiest way to do this is actually just to edit the field twice: change the field type to text, then change it back to picklist. During the text to picklist conversion, all actual values in the field are converted to picklist values. If you were curious what values were there before, make sure you back up the list of options somehow.

If you have less than 50,000 records, you can just get this information from a simple query:

SELECT MyPicklist__c, count(Id) records FROM MyObject__c GROUP BY MyPicklist__c

If you run this query in the Developer Console, you would see something like:

MyPicklist__c    count(Id)
Value 1          200
Value 2          100
Value 3          75
Value 5          42
...              ...

Any values you do not see under MyPicklist__c are not selected. You could also run a script to just spit out unused values:

Set<String> selectedValues = new Set<String>();
for (AggregateResult aggregate : [
    SELECT MyPicklist__c FROM MyObject__c GROUP BY MyPicklist__c
]) selectedValues.add((String)aggregate.get('MyPicklist__c'));

List<String> unselectedValues = new List<String>();
for (PicklistEntry entry : MyObject__c.MyPicklist__c.getDescribe().getPicklistValues())
    if (!selectedValues.contains(entry.getValue())
        unselectedValues.add(entry.getValue());

system.debug(JSON.serialize(unselectedValues));