I never lost any data Apple Mail, Address Book or iCal until I started syncing with Mobileme. Actually lost my own information which was a bit unnerving. Hence stopped using the service (about a month ago). It seems even some high profile syncing services are not as good as they seem. There seems to be sporadic thunder, lightning, and other adverse weather in the "cloud."
One this that has helped me is decent regular (daily or hourly) back ups. That way when you notice that something is missing, you can 1) fully back up your current database 2) restore the back up that has the lost information 3) export the missing information 4) restore to your fully backed up current database 5) import the previously exported information. I've only had to do this while syncing with some kind of "cloud" service. I currently use a LAN service called busysync and thus far haven't had any lost data, but this in only a calendar solution.
For my other programs, Things for example, I have my database on dropbox. That allows me a certain level of "syncing" although not true syncing. Basically, Dropbox just copies the database for you to what ever computer you specify, automatically. That way you're not combining two different databases, you're just transferring the same database to a different place. (Kind of like putting everything on a jumpdrive, but safer, faster, automatic, and nothing in your pocket.)

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