I've never had a game deliberately stolen (although I've certainly had my fair share of other stuff stolen from me; fuck dishonest taxi drivers, among others) but have definitely lost some through circumstance.
I lent my Super Mario 64 to a friend of a friend when we were all going to be in a band together, but the band fizzled out and we basically lost contact with each other. I was kind of dubious of lending the game, but I didn't want to rock the boat.
I similarly lost my copy of the original Ocarina of Time when I lent it to a high school friend who was also friends with my girlfriend at the time. We had the typical messy teenage breakup and in the shakeout, my ex 'inherited' our mutual friend. She actually remembered she still had it an offered it back to me a few years ago when we got in contact again via Facebook, but given we now live halfway across the world from each other, I figured it was ok to let her keep it.
(Related to moving halfway across the world, a friend of mine also still has my Sam and Max Hit the Road/Day of the Tentacle dual disc, and I have his Fable II Collector's Edition, which was basically brand new at the time. Hoping on my next visit back to see my parents I can get it back.)
The one that hurts the most, though, is losing my mint CIB Link's Awakening, when I lent it to a family friend and we lost contact. In return, I borrowed a cart-only copy of the Addams Family, which I still have. Not a fair trade...