Years ago, after moving out of the house, I made the mistake of letting my sister borrow my PS1. I told her not to let it leave her house. So of course, she brings it to a friend's place, and leaves it there. Some time later I ask for it back, and My Gran Turismo II is missing, as are 3 of the 4 discs to Final Fantasy VIII, and one of my controllers. I never saw them again. It still burns me up.
Also, I was missing the case and two discs for Final Fantasy VII. I was hunting through boxes from when Stef and I moved recently, and lo and behold, there were the missing discs and the case! In good shape too. I was so happy.
EDIT: There was also the time when my mother lent out my NES along with all my games, and it was never heard from again.
Same thing happened with my Mario Paint. I was told that the person that it was lent to had given it back, but I call bullshit to this day, as their whole family were scam artists.