Doc Searls is the most loss-attractive guy I know. From personal recollection and his blog, I believe I know about a dead PowerBook (just died), a dead PowerBook (bent), a misplaced AirPort Base Station (later found and restored), a stolen camcorder (replaced by his Net fans), at least a pair of lost glasses, and one or more lost cell phones.
Now someone's gone and stolen his laptop and his glasses. I think Doc needs a proximity alarm--nothing is allowed to be more than about 15 feet from him, intentionally or otherwise.
David Weinberger scared me when I dropped him off at the airport a few weeks ago in SF: he was so beat that he dropped all his stuff sort of out in the unoccupied airport about 15 feet from the counter and wasn't watching it. (Now you know, Dave!)
Me, I'm courting fate here, but I can't think that I've ever had anything important stolen. Our car was professionally broken into several months ago and someone stole a cheapass cassette deck that cost < $200 to install a few years ago, so no great loss. (We replaced it with a CD player that has an auxiliary input stereo jack--and we always take the faceplate now, instead of the lazy complacency we'd gotten into.)
I back up my data to some ridiculous extents, making multiple tape copies and then cutting CDs from time to time of the data part of the transaction. It's worked out. I've never really lost any personal data, but I've had hard drives go bad twice in the last year plus some cracker attacks which has resulted in extensive restoration from backups. I still need to improve how I backup so that I can make sure and always have a revert position instead of wasting whole days.