Had it happen to me today. I had booked MLI-MSP-ATL with a deliberate near 4-hour layover in MSP to go see the Mall of America. Sure 'nuff, they put the bag on the first ATL flight and it got there before I did. So much for bag-matching. I went right to the office to check before the bags from my own flight even came out.

I didn't have any valuables packed, but can see where there'd be potential for theft or other problems.