The final shot of the Season 1 finale, Chrysalis, had Sinclair with his fiancée, Catherine Sakai. The next episode, Sinclair was reassigned to be ambassador to Minbar (out of universe, Michael O'Hare tragically had to leave due to mental illness) and Catherine disappeared as well. When Sinclair returned to the show in the two-part War Without End, Catherine was completely absent and didn't even get a mention.
So whatever happened to Catherine Sakai?
While Catherine Sakai never appeared on the show again, she was a main character in the 100% canon novel To Dream in the City of Sorrows by Kathryn Drennan (who at the time of its publishing was JMS' wife). It's well-written and sheds a lot of light into the stories of Sinclair, Catherine, and even Marcus Cole and I heartily recommend it. But if you're okay with spoilers, here's the short version of it:
Catherine left Babylon 5 after the start of 2259 on an extended survey on the rim and narrowly escaped an attack by a Shadow vessel. After returning to Babylon 5 and discovering that Sinclair was transferred (being pretty much the last person to know), she met him on Minbar and decided that despite his Ranger duties, she still wanted to marry him, and even joined the Rangers. Months later, the Shadows tried to artificially open up a time rift in Sector 14 (the Babylon 4 sector) to send a ship back in time and change the outcome of the first Shadow War. Sinclair, Marcus, and Catherine prevented this, but Catherine got dragged into the time rift before it closed, going to who knows where (or when). Sinclair was distraught over her loss, but when he asked Kosh if he would meet Catherine again, he replied, "Perhaps".
Then in the epilogue, set after War Without End:
Marcus received a cryptic letter written on old paper saying, "From both of us, our thanks and friendship. Continue to dream that better future . . . where perhaps we'll meet again."
There was also a three issue comic miniseries called In Valen's Name, written by JMS himself.
In 2261, the Babylon 5 crew discover the remains of Babylon 4. On board, Delenn listens to the audio journal of Valen (Sinclair), with this final entry: "And as for me... I've received my own reward, because I've found her. At long last... I've found... her."
Between these two, especially considering the epilogue of the novel, it would appear that ultimately...
Catherine was sent to a time and place close to where Babylon 4 appeared, and Sinclair did end up finding her. A happy ending, but they sure had to go through hell to get it!
As Allen Gould points out in the comments, this sheds new light on Valen's children needing to flee Minbar after his death. See the linked answer in Why were the early children/descendants of Valen persecuted?
