As a professional in the area of condom manufacture and quality, I can confirm that condom failure is a relatively rare event, but is always traumatic.
There is a lot of very good research available online, one of the better articles that summarises the current sate of academic research is available here:
http://www.fhi.org/en/RH/Pubs/booksR...ehavcharac.htm.
The key message is that users who have suffered condom failure in the past are TWICE as likely to suffer it in the future.
The lessons to learn are as follows:
1. Never EVER EVER use anything oil based on the hands, penis, vagina (or anus, as suits) or mouth (if that's where you're headed) in the hours up to and including the act of sex. Oil destroys latex chemically, and oils on the skin can be present for several hours after application. In the case of vaginal medications (canisten etc) they can still be present days later. Don't forget hand cream and lipstick as well as massage oils.
2. Always use the right size. Most slippage is from people who use the wrong condom size. It is just as bad to use a huge condom on a normal cock as t is to use a tiny condom on a huge cock.
3. Even lubricated condoms need extra lube if you are banging away for more than a few minutes. If you are not a naturally wet lady, or if you are having anal sex at all, use extra lube. See point one above - unless it states "latex safe" on the label, do not use it.
4. Ensure the condom has the appropriate quality marks - in Europe, all condoms have to (by law) carry the CE mark if the are intended for contraception (rather than as novelties). In ZA they should have the SABS mark. There are other similar marks around the world. In Britain (and much of the Commonwealth) the BSI Kitemark is an even better indicator of quality, as i requires a higher level of testing from the normal international standards.
5. If you change holes, change condoms. This goes for moving from person to person too. Not just for the health risk associated with A to M, or A to V, but also because all the lube on a condom comes off the first time you stick it into someone.