Luggage never lost - but delayed (and that oftens means delivery a full 24 hours later for incoming flights from Switzerland).

This happened 3 times last year - always when connecting at LHR from UA's code-share flight with British Midland (Zurich-LHR) and than UA to the USA.

I managed to do this years round-the-world with only soft handluggage (and I was very proud of that).