Between 5 and 10 bags are reported lost per 1,000 enplanements in the U.S. The statistics are skewed because one late flight missing one connection can cause hundreds of bags to be counted as lost or delayed. That is, bags are lost in clumps -- if your bag is missing, so will a lot of others on that flight. For dozens, if not hundreds of flights, no bag is lost or delayed. The more connections, the greater the possibility of a bag going missing. The longer the time between connecting flights, the fewer bags that get delayed. The closer to departure time that the flyer checks in, the greater the chance that a bag will never be loaded.
So arrive two hours before a flight to check your bag.
Minimize connections, and try for 1 1/2 hours for the connection.
Avoid Heathrow, where three hours is recommended between a connecting flights, but the airlines will sell you flights with as little as 30 minutes of connection time.
Know your compensation rights if your checked bag is delayed.