Living as an expatriate, I have had the airlines lose my luggage many times. I have also on occasion have stuff stolen from it. This usually happens when I change flights en route to a destination. Whenever I can, I follow a few rules to avoid this;
1) Try to stick with the same carrier. Switching airlines creates a situation whereby neither party will be responsible for lost bags or missed connections.
2) If you have to stopover to change flights, check your bags all the way to the final destination if possible. If this is done, then the carrier taking you to your final destination has the responsibility to bring your bags to you even if they lose it (usually the next available flight). I have done this even with 24hr layovers (and some).
3) Always try to have a minimum layover time of 2hrs or so to give enough time for your bag to make the connection. You can run to the next gate....your bags can't
4) Try to carry essentials if you can. I used to carry my reg. These days, my DSLR and housing is far more important and that comes as handluggage with me. I can rent gear, I cannot rent a housed DSLR.
5) Buy travel insurance and keep the hotline number in your cell or wallet. It is cheap.
I know at times this may not be possible and the potential for being caught out is great....as it was in this case. I usually am not too concerned about losing bags completely. They are usually just late. I do however make it real hard for people to pilfer my stuff.... I once locked my reg to my reg bag and locked that to the inside of my old dive luggage (which was also locked of course!!) Hah. And to throw them off, I had another reg bag in there locked up in the same manner with my boots and some spare parts.....I was flying a small charter flight through a crappy airport....I had to check it and have the bags out of my sight! I was not going to make it easy.... basically, everything in there was daisy chained! I find that it's usually an item or two that goes missing if something is stolen....seldom the whole bag. If they do steal something anyway, that's what insurance is for....
And by the way....on airlines such as Emirates and even Turkish Air, I have ALWAYS been given between US$100-200 (regardless of class traveled) to buy essential toiletries and basic clothing when my bags do not arrive.