Lost, never...delayed, many a time.
Delayed to Washington DC, New York, Italy (this was the worse because I was taking a bus to the Alpes right after) and Lima, Peru (with all the Christmas presents inside!!!!).
Of course when it happens you think is lost. Luckily, I always insure my luggage with Amex ($5.75 per trip) and it has more than paid for my delays and inconveniences.
If delayed more than 5 hrs, then I can get up to $500 reimbursement from Amex. I've used it at least 4-5 times (including this last Christmas). The catch is that you can only purchase clothing, shoes, necessity items and it must be bought before you receive your luggage. I spent all $500 on my sister when I arrived in Lima. She got lucky!!!!