According to SITA's 2008 baggage report about airline luggage, more than 42 million bags were mishandled in 2007, with 1.2 million of them irretrievably lost. They estimate that if things continue in the same fashion, about 70 million can expect to be mishandled in 2019.
The most likely point in the bag's journey for something to go wrong is if they have to be changed from one plane to another.
The report points out that actually only 3% of bags never turn up, which they try to spin as being a positive thing. And I suppose that it is better than 10% going permanently missing. However, if you're the owner of one of those 3%, that's quite an inconvenience!
A far better way to travel, in my opinion, is with no checked luggage at all - travelling light with carry-on or cabin luggage only. That way, there's no chance that you'll lose your bag (unless its YOUR fault - and I have done that!) and it'll be much easier to enjoy your trip, knowing that your bag will arrive with you.
Of course, one wonders where the lost bags all go. Is it to the same place as socks, biros and coathangers?