The kind of things I've seen reported on /r/bitcoin:

- lose key to wallet

- lose wallet due to inadequate backups

- lose contents of "brainwallet" due to weak password

- lose wallet/contents due to malware targeting bitcoin

- lose wallet/contents due to bug in client software (recommendations change frequently)

- send to merchant, defrauded in the old-fashioned way

- keep on exchange for trading, exchange collapses

- erroneously swap transaction value and transaction fee, or other fat-finger errors

- erroneously send to wrong or non-existent target address