I fly about once a week, and try to do everything in my power not to check a bag. Last year, I checked my bag 10 times and it was misplaced 2 of those times. The first time, I got it back in less than 24 hours (though it was delivered to the lobby booth of my apartment building, which promptly closed for the weekend. I had to get the super to open it up for me, and he was not happy about it) and the second bag I got back about 50 hours later.

As for some sort of system to know where my bag is, I don't really think it would do me much good. After all, I'm not going to get on a plane and fly and get it. I suppose if you think that the airlines are so clueless as to have no idea where you bag is (which is, I suppose, a possibilty) you could use it to inform them of where to look. But generally, I wouldn't pay any extra to get a GPS for my bag.