1) I was playing FF7 and made it up to Cosmo Canyon. I had the car by that time, and once I exited Cosmo Canyon, I saved immediately. So what happens next? There's a glitch that will only let my car turn, but not move, as if it's STUCK to Cosmo Canyon! It won't let me exit the car either! I reloaded the saved game and the exact same thing happened. All those hours of FF7 down the drain because of an unknown glitch I just so happened to save on.
2) I got even farther in FF7; almost up to the death of Aeris. Thing is, I was saving my game on my brother's memory card. My brother took his memory card with him to his girlfriend's house, and when he comes back, my saved game is GONE. I later find out that his girlfriend wanted to "try out" Rayman, so she deleted my save so she could save her own game. The icing on the cake was she didn't even like Rayman and never played it again.
3) Recently I was playing Resident Evil 2 Dual Shock on Arrange mode (free rocket launcher!!!). I decided that since the rocket launcher could destroy just about everything before it gets near me, I can hold off on saving until I get close to the lab area. Well, I clear almost all of the precinct and what do I see? A group of hellhounds. I figure, "Eh, I got a rocket launcher, so what!" I shoot the rocket launcher, and the rocket flies OVER the dogs. I have NO other guns on me at the time and soon realize that as they rip me to shreds.
4) I was playing Duck Hunt with my mom, and she got all excited and pulled on the light gun, which pulled my Nintendo, ultimately pulling on the RF unit, destroying the RF input for my TV.
5) I was playing Summoner and rarely saved. I got down into the sewers and found that all the golems and monsters in there were pretty easy to beat, so why save?

I turn one corner, ONE FREAKING WRONG TURN, and this group of thieves ambushes my party. I figure they'd be as easy as the rest of the enemies in the sewer, even easier since they're HUMAN, so I stay and fight. They're indestructible, and needless to say, they kill me with ease.