*thinks*
Nope. For a while I thought I lost my original copy of Rollercoaster Tycoon, but I found that again a few months back. The postal service did loose track of my order of the Warcraft 3 Battlechest, but I didn't end up paying for it so that doesn't count.
Hell, I gained more games over the years by accident than I lost them; Unreal 2, Black And White 2 and FEAR. Borrowed them from friends, played them, forgot about them, they did too and when I left high school I never really talked to them again. And now they're on my shelf.
Edit:
I remember now! I've lost my copy of Railroad Tycoon 2. Back then I usually left the disc in my parent's PC as I played it quite a lot. Then it suddenly broke down and dad took it to the repairshop, not knowing there still a disc in it. It came back without it. I was sad that day.