My memorable save losses:
Star Wars: Knights of the Old Republic -
About 33 hours in, VERY close to the end, we find out that my newly-purchased refurbished XBox is defective (XBox Live service was thinking it was modded, something wasn't put back together right ;P), and so we need to send it to MS for a fix. Was flat broke at the time. Couldn't afford a memory card. Good thing they provided the packaging/shipping costs, or I wouldnt have been able to send it back for a while, either.
That sucked.
Sonic Adventure 2 (DC) -
Was living with my older sister and my niece at the time. I'd finally gotten all 180 emblems in the game, and everything unlocked. Few weeks later, my niece decides to play with my VMU (which amazingly, had a working battery) when I'm out of the house. I come home to a VMU with an altered time setting and all of my files erased from it. >.>
Another big save from that VMU was one for PSO v2, a level 180 FOMarl with about 300 hours logged. It was my secondary character, but it still sucked pretty badly.
Pokémon Blue -
All 151 Pokemon, countless hours logged on the thing. Somewhere over or around 350. Legitimately-transfered Mew (Nintendo event). Just erased itself. Not too big of a deal, though, as later I won another Mew from a contest at TRU on a Black Friday many years ago.
A ton of others just from the carts being old and the batteries losing power. And a TON of corrupted PS1 memory cards (yes, official. never had luck with ANY PS1 card

). But none of those were really too important.