Reformatted my HD and when I restarted GTA IV I'd lost my 90% saves.
I was not impressed.
Other than that. Oblivion and Fallout 3 are the worst culprits for me, I get so sucked in and have so many mods it ends up crashing occasionally, I've lost quite a few hours on more then one occasion.
Most games though run rock solid on my PC so I never have to worry about them.