It _is_ very effective but, as mentioned, nothing works 100% beyond not having sex with anyone. Do your best to take responsibility for protecting against it and deal with it if it happens.
Pulling out certainly reduces the chances, but don't ever forget that you're leaking fluid and sperm before actually ejaculating. And, you don't have to pull out all the time either - I pay more attention to it when she's ovulating and don't worry so much about it right after her period. Besides, it compels some variety into things and that's rarely a bad thing.
I know someone mentioned STDs and that's definitely nothing to ignore, but I took the question to be from someone in a relationship, not one-night stands. If you're monogamous, STDs shouldn't really be an issue. (unless you're over on that other thread where the guy wants to bang every girl he sees lol)
To answer your question directly, no, it has never happened to me and I am usually in long-term committed relationships where the woman is on the pill and we don't use condoms. There have been a couple of scares over the years, but they never panned out. Aunt Flo always arrived, alebit a week or two late.
When all else fails, cum in her ass.