Couple of stories here. One was me, one wasn't.
The first was a few years back, I was setting up Windows again. I do this from time to time whether it needs it or not, as it's a good way to ensure that I get rid of unnecessary files and application. When I do this, I only re-install applications if and when I need them. I have few HDD partitions full of different applications and data. I planned to delete my Windows System partition, recreate it and install windows on the now blank partition. I got to the page in the Windows installer that enables you to delete and recreate partitions. While I was doing this, a housemate walked in and start talking. All of a sudden, I wasn't really focusing on what I was doing, so I happily selected the wrong partition, deleted it, recreated it and installed Windows on it. I only realised when I found I had two Windows installs. I lost quite a lot of data, thankfully, none of it really important, so it was a pain in the arse rather than a real problem.
The second, I got from someone else. A friend worked for a small budget games developer and publisher. He told me a story about his boss, who accidentally went to the C:\Windows folder on his machine. This was Windows 3.1, so there was no protection, and when he did this, he called my friend to try and retrieve the contents of the machine. The problem was, his boss had installed every application to this folder, and put all his data in it. I think my friend managed to recover some of the data with an undelete tool, but only some.