Well, the losses were caused by HDD failures, and in truth the last 2 (in 2007 and 2009) recovered enough to allow me to copy the data (minus one thing I simply forgot about and still beat myself over) elsewhere before sending them to be replaced (being still under warranty), though I really panicked at the time. There was also a weird one when I was little, when the accounting program my mother used somehow ended up overwriting the FAT tables (nobody could explain how it happened), so everything was a mess of names from the inventory (and other things) of the firm she was doing the accounting for, but I was 8 or 9 at the time and didn't have anything of my own on the computer (even the little games I played used codes to skip to levels, no save games, and had those written on paper).
The one HDD failure that did cause me to lose something important was in 2004 I believe. Had been working on something for several months and when I moved in with my girlfriend I of course put it on a CD and took it with me. Once there I initially didn't bother with it for a while, but then put everything I needed on her computer and spent about a month going through what I had done up to that point with a fine-tooth comb to weed out bugs and make improvements... And then her HDD died and took all my work with it. I never installed what I had on the CD again to do it again... And then, when... that ended I even forgot the disk there and she couldn't find it to send it back. Sent me a box with pretty much every CD she found and didn't recognize as hers, so I ended up with a bunch of disks with random crap burned on them, old driver disks, CDs from magazines, you name it, but not that one. (Not that I'd have taken up working on it again, most probably, but just saying...)
But had 2 very close calls to a potential horror story though.
One was when I was little and was messing with the menus in Norton Commander and when I saw "format" I assumed it meant layout. Somewhat luckily, it had "format c:" selected by default, and I wanted to see what happened if I changed it (again, expected to change how the screen looked), so I picked "format a:"... Lost a game I was playing at the time, which was on the floppy currently in the drive, but the HDD was safe at least.
The second was while I was living with my girlfriend, when she woke me up from a nap by placing stuff next to me in bed. I ask what's going on and she tells me that the computer just rebooted itself and when she tried to figure out why she noticed that it was overheating, so she was trying to move what was on and next to it on the desk to give it some clear air and allow it to cool better. I immediately jump out of bed, check CPU temp, see over 70C, but then when I try to put my hand on the computer I almost get burned. So turn it off right away, look inside and see that the PSU was burning hot (its cooler had died). When I took it apart, I saw parts molten inside it, but it sure was a trooper, not messing anything else up or catching fire!