My tuppenceworth. I went through a period where it seemed as though every time I checked a bag with BA it got lost/delayed, although I always received mine eventually (unlike a colleague who once lost a bag permanently having checked it on he last BA flight from LGW to AMS!). Partly as a consequence of that, but primarily because it is generally easier, I rarely check bags in whatever class I am flying on SH (usually only if it is a trip of more than 4/5 days or a skiing holiday). However in fairness, the last few times that I have checked a bag on BA I have had the bag delivered, my only gripe (yes there's always got to be one) being that it usually comes out last, despite being Priority tagged, but that's a different matter.
My worst experience was with KLM/Kenya Airways. The latter losing my bag and being beyond hopeless in helping me find it, the former pretending it was not their problem because it was a KQ operated flight, despite it being booked as a KL codeshare.