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I don't think I ever lost an actual savefile (save for my old pokemon blue/silver/chrystal and possibly Zelda OOS and OOT files for the gameboy when the battery died, but I wasn't actively playing those at the time I lost the files).
But loosing a really fun run in the Binding of Isaac to some stupid mistake or a world you put a lot of time and work into in Don't Starve can be rage inducing/frustating/saddening. I usually have to put the game down for a while after that.