I only have ever had one missing. One of the RedBrown 3 x 12 Wings was a left instead of a right, or vice versa: 6210 Jabba's Sail Barge
The rest of the time when I've been missing a piece, its because I used the wrong piece somewhere else, usually mixing up colors. Unfortunately, its almost always been on the monster sets like the Death Star, Death Star II, or UCS Millennium Falcon. Then it is the big challenge to go back through and not only find the incorrectly placed piece but also extract it. On the Falcon I had to disassemble most of the thing before we even could find the wrong piece. On the Death Star II I remember it was easier to find, but still annoying to swap.
I've occasionally had broken or defect parts. I've actually had more defects recently that I've had before. For example, I had a rebel helmet that would not stay on in "The Battle of Endor" and a broken clip on the tauntaun saddle in "Echo Base".
I guess I haven't been as unlucky as some because I usually use S@H or online from Target or ToysRUs so the sets haven't had a change to be pilfered for minifigs which seems to be the usual problem. My kids have lost a few pieces, including a Indiana Jones Crystal Skull, and I have paid to get those replaced. For either missing, defective, or lost parts, I never have had to do anything other than the online form at S@H. They did email me to confirm the price on the replacement crystal skull, but that seems to be expected.