I have flown quite a bit and never had my bag lost or delayed (fingers crossed this luck continues as I am flying internationally with a connection later today!).
My dad travels extensively for business and very very rarely has issues with his luggage. There is one particular connection on his return to the US from China where his bag has missed the flight each and every time. This happens so often that the airport has an employee that drives his bag to my parents house! ;-D
On the other hand, I can't tell you the number of times that I've opened my bag to find the TSA's little notice that my bag was selected for a random inspection. I must have a suspicious looking suitcase!
I second the recommendations to have some essentials in your carry-on. :)