I've had plenty of terrible experiences. My 96 Super Mario World save was deleted, I accidentally kicked my Super Nintendo while playing A Link to the Past, and lost 40+ hours in Digimon World 2.
But the worst experience of all was when I realized my 100% Resident Evil 4 playthrough on PS2 was totally gone forever. The whole memory card was wiped along with my Kingdom Hearts (1 and 2), Jak (1 and 2), Ratchet and Clank (1,2, and 3), God of War, Devil May Cry, and Shadow of the Colossus saves. Easily 500+ hours of gaming that just totally vanished.