Luckily I've never lost an important save from a vengeful sibling, but I have had other issues.
NBA Hangtime for N64. I beat the entire season and went onto developers' teams. My created character had perfect stats besides height and weight. I'd put months into it. Then, I came home from school one day to find that my dog had used my N64 memory pak as a chew toy. ARGH!
Mega Man Battle Network 3: White for GBA. I've messed up on this twice. Once, I let a friend's sibling borrow my game. I was promised that my save file would be fine, but then I heard that it was unintentionally overwritten.
The 2nd time, I was extremely far, possibly twice as far as I had been before. This was years after I had lost the other save, and was over it. Then, my friend asked to see the game. I started it up and started a new file temporarily. I showed him a few moments of the game, then pressed A+B+START+SELECT to reset the GBA. Warning: soft resetting this game automatically saves it!
I've also lost sheets of paper that had passwords written down on them. That's always annoying.