I had a similar experience flying BTR-DFW-SMF a couple years back. I had actually checked my bag all the way through, but there was something going on at the ticket counter and they had to hand-write my bag tag (ding, ding, ding).

I go along my merry way and have an uneventful flight, arrive in SMF awaiting my bag with never arrives. As I wait in the baggage services line I pull out my hand-written bag tag only to see that the bag had been routed BTR-AUS-SMF (the flight NUMBERS were correct, the airports were not...also, there's no way to get from AUS to SMF on AA directly). My own fault for not looking at the bag tag when the agent handed it to me.

Bag arrives the next day (Saturday). I finally open it up on Sunday to do laundry and notice that a pair of slacks and a belt are missing. Called and wrote letter, but nothing ever came of it. There was no note from TSA indicating it had been opened.

Rather than get wrapped around the axle, I simply want to Target and bought a TSA-approved combination lock. This way, if I ever do check a bag for whatever reason I know that only TSA can open it and that they would be the culprits. Haven't had any issues since.