Lost my FF III data due to the tabs on my SNES being cut out to play my JP Front Mission Gun Hazard. The US carts ended up being a little loose when inserted and it corrupted the data. Afterward, I actually had to purposely put it in backwards, wiggle it, etc... to wipe out the cart save data so the game would start a new game. My newer SNES is unmodified for this fear and I don't like hacking up game systems up like that.
The Shinobi PS2 save thing happened to me as well, stupid bullshit.
Played many Saturn games to find out after turning it off or starting an old save the internal battery is dead. In one case, I had completed 4 games on Dragon Force. Jesus Christ I was annoyed. Now I know better and test it out before starting a new game. If it is dead, then off to Radio Shack to blow $5 on a CR2032 if I remember correctly. I found it is best to remove the battery (same with Dreamcast VMU, but it still keeps saves) when you aren't playing your system. Just back-up data on your 4 in 1 Action Replay. The system tends to suck the juice out of it in 2-3 years.
I haven't had much bad luck with anything else really.