This has happened to me twice.
First was in 2000. We had just gotten the Playstation and it was the newer, smaller PSone model, but I'd had the N64 for a number of years already. I was really lucky to have both an N64 and a PS1, especially considering how tight money was for us in those days. Blockbuster was my best friend, but every now and then, on rare occasions, I'd actually get to buy a game; usually it'd be a game I rented first and loved enough to want to own it.
Anyways, one night, for a reason I can't remember for the life of me, we "had?" to stay at a hotel for one night. But, my older sister and brother were staying behind at the house, and were apparently going to throw a party of some sort. I can't come to any logical conclusion as to why my parents would take me and my younger siblings to a hotel for one night randomly, while leaving behind my two older siblings to throw a party, but before we left for the hotel, I remember being skeptical about simply leaving my N64 and PS there when a bunch of people would be partying, drinking, or whatever. Of course, I was assured (by my parents? by my older sister/brother? I don't remember) that I was worrying over nothing, and the excitement of staying in a hotel (lame right?), which we didn't do very often, was enough to get me to stop worrying about it. Right before we left though, I took out the game currently in my N64, which was a rented copy of either Pokemon Puzzle League or Kirby 64, and hid it. (I can't remember which, because I played both around the same time)
Fast forward to the next morning, and we return to the house to some great news. My N64 and PS1, along with the games that were sitting beside the systems, were gone, presumably taken by someone the night before. I was devastated. The games taken were Goldeneye 64, which was lying somewhere nearby the N64, along with Crash Team Racing and Spyro 2, one of which was in the PS1 and the other which was lying nearby. All the extra controllers for both systems were gone too. Thankfully, the rest of my N64 games were untouched, maybe because they weren't out in the open, although CTR and Spyro 2 were the only PS1 games I owned at the time. I had barely owned it for that long...
As it turned out, whoever took them was apparently someone my older sister knew. They weren't friends or even acquaintances, but she knew who it was, and we lived in a fairly small city where everyone seemed to know everyone else. Still, I didn't get the stolen systems / games back, I think the guy who took them sold them by the time my sister found out he was responsible, and he never got in trouble for it as far as I know. My older sister ended up taking responsibility for the incident, I guess she was the one who wanted to throw the party in the first place. She ended up buying me another Playstation, though it was the chunkier model, along with new copies of Spyro 2 and Digimon World (no CTR though ;_

. I also got my first memory card! (Yep, I had played CTR and Spyro 2 without owning a memory card, and yes, I did finish Spyro 2 multiple times, sometimes to 100% completion, contemplate that) My brother's friend ended up giving us his own N64, along with his controllers and copy of Goldeneye.
It was a pretty upsetting experience for me at the time, but it could have ended worse, and at least the rest of my games were safe... right?...
Fast forward to a few years later. We were living in a different city (and technically country!... but still NA ;']). I had a "friend", who was someone I didn't really know that well but they went to my school, and they lived not too far from me, so I let them come over a few times.
Whenever he was over the first time, he was really interested in the older games I had, as in Genesis / N64 / PS1, as opposed to the new gen at the time (Gamecube/PS2), so I let him look through them both times he came over. After the second visit though, I didn't want him to come over anymore. I don't even remember WHY, I just didn't. Thinking back on it, I think the fact that he was looking through my games made me uncomfortable. So not too long after the second visit, he was knocking at the door, and I didn't want to let him in. Buuuuuut, my younger sister and I had just gotten in a fight, and to get back at me, she let him in, knowing I really didn't want that.
So once again he asked if he could look through my old game stuff, and I was like "sure...". I feel like I was playing Wind Waker, or maybe SA2B during all this, I don't remember. Every now and then he'd say something like, "Oh, you have this-game" and I'd be like "...yeah". I remember looking over at the closet where he was looking through all the stuff and thinking "He's making a bit of a mess, that's gonna be annoying to straighten up". But after a little while, he said he had to go, and left. I was just kind of like "Kay, bye" and let him leave on his own without really even looking at him. Aaaaaand, a little while later, I went to the closet to straighten things up aaaaaaand...
Things were missin'.
Gone were Donkey Kong 64 and Banjo Kazooie, which had survived the Room Raid of 2000, missing along with newcomers Mario Party 3 and Pokemon Stadium 2. He left Goemon's Great Adventure though, bless his heart. On the Playstation side, Spyro 2 left me once again, along with Digimon World and 102 Dalmations (lol). And then, my poor Genesis games, Sonic 2 and 3 were no longer with us. He left Sonic & Knuckles though, how stupid, Sonic 3 is just incomplete without it. I swore he said he didn't even have a Genesis. Also missing from the TV stand was my copy of Pokemon Ruby, which triggered in my mind the memory of him asking "Oh, you've got the new Pokemon?"... I'm so stupid. I was in the middle of beating the Elite Four, I wonder if beat them for me?...
Extreme-G was also nowhere to be found, but it's possible I was only now realizing I had lost it because I had completely forgotten I even owned it.
All I could really do is look at my sister and say "...You shouldn't have let him in."
I gotta wonder how he managed to take all these games at once... Though none of my N64 games had their cases anymore... and he WAS wearing a heavy hoodie... why didn't I question any of this. For all I know, he took them at different times because I didn't check my games until after the third, and final visit.
And for some reason, he didn't touch any of my Gamecube or PS2 titles, and at this point in time, we were a little better off financially so I had a few things to choose from... Me and Blockbuster were still besties though.
*sigh*
After that day, I didn't see the guy on my bus or at school anymore, although he wasn't in any of my classes so maybe he just stopped riding the bus and conveniently avoided me in the halls... Funnily, about 4 years after that, I saw him again at my high school, but he was now a grade lower than me and apparently doing really bad in school. From what I know, he ended up dropping out that same year.
I haven't had any games stolen from me since. I'm very protective of them now, yep. Trust no one.