Fencing
Aquatics (Swimming, Synchro. Swim., Diving, Water Polo)
Athletics (Track and Field)
Gymnastics
Cycling
Every other sport has missed at least one of the modern Olympic Games. Rowing comes close, having been on the program of every Games, but in 1896 it was cancelled due to inclement weather (rough seas). In this context you look at sports, not events.
Notice that I listed 5 sports, not the 4 that is the commonly cited number. All five of the above sports have been contested at every Olympic Games according to
http://www.olympic.org
-B :)