I think I've mentioned this on here before but it seems tangentially appropriate to mention it in this thread anyway.

I've never had a bag go missing, but I was once going through security at MAD (I think - it was certainly in Spain), and as I was travelling suited and booted I put all metal items in my jacket pocket and then put my jacket on the conveyor belt.

Unfortunately I must have been daydreaming as I proceeded to walk though the metal detector with my laptop bag in my hand . That obviously meant I had to go back through, and by the time I did my jacket was missing, and another vaguely similar one was left in its place.

That cost me car keys, house keys, mobile phone etc etc. By the time I'd paid for a (very long) taxi ride, repairs to my back door from where I'd had to break in, new phone etc it was a £1000+ cockup.

My jacket, complete with all the contents arrived in the mail about 3 months later from our Madrid office, who the airport had sent it to when the person who picked it up next went through the airport again and handed it in.

... Oh and the airport I always think is very dodgy for the chance of bags going missing from the carousel is LAX (domestic AA arrivals) - where the carousel is yards from the taxi rank though an automatic sliding door though which people can enter and leave at will.