The only Pokémon game we apparently lost was Pokémon Snap. The twins say we had our cousins borrow it, but I don't know anymore. Other than that, I haven't lost my games, I've been really good at keeping them. I did lose my Yellow version to old age, though, so I can't play it anymore. Which sucks, too, because I found out about a year or two ago that you CAN do the Mew Glitch on Yellow. And I really-really-really want to play it again for the nostalgia. Actually, I can't seem to find Pokémon Pinball: Ruby and Sapphire, now that I think about it...
Now my brothers on the other hand have lost their games: Red, Blue, and Emerald (and possibly Sapphire, the one twin has a bad habit of losing things). They don't seem too heartbroken over it, though they wish they had found them.