I got a friend into bitcoin mining with about 4GH/s of BFL Singles, but I didn't get around to explaining how the wallet worked. Shortly after he started mining, he decided to reload Windows on the laptop that contained his Bitcoin client. He assumed that his wallet was somehow web based and lost 3 BTC. When I explained how everything works, he didn't show too much concern over the $30-ish and just started over.
I, however, was more upset, mostly with myself. I spent several hours recovering his lost wallet and trying to get at the coins, but it was corrupt and I finally had to give up. It wasn't the loss of the current value that bothered me, but what 3 BTC might be worth someday and how annoyed I'll be at the situation if that happens.
tl;dr: Losing bitcoins sucks because they might be worth a LOT more someday, amplifying one's regret over having lost them.
I totally agree with you! I went on satoshi dice and lost about 6 bitcoins betting and it still burns me up thinking about it and that happened like 4 months ago. I will never bet my hard earned bitcoins again! I totally plan on using them as a form of retirement one day in the future because I believe they are destined to be worth a considerable amount one day.