Only on a few occasions has my luggage not arrived with me, and each time I had it within 24 hours. The three that I can recall occurred on Iceland Air (business class), KLM (also business class) and Singapore Airlines (first class). I think that truly lost luggage (as in never recovered) is really rather rare, at least on major, reputable airlines, although obviously it does happen. Delayed luggage is commoner, of course.

I pack anything "irreplaceable" (unless it is too bulky) in my carry-on bag, and I usually try to take a change of underwear and a fresh shirt with me on to the plane, just in case. (I'm less likely to bother with the clothes on a trip back home, naturally enough.)