That means pack all vital medicines, cosmetics, toiletries and an emergency change of clothes in your carry-on gear. Make sure a lost bag won't destroy your vacation/business trip/new job interview/fill-in-the-blank, and remember, if you leave yourself exposed, Murphy's Law will guarantee your bag won't make it.
I'm still laughing at a friend of mine who flew in for a job interview as an airline pilot only to have the airline he was interviewing with lose his bag and socks. Searching all over town the night before the critical interview produced no black socks, so he used black polish to tone down his ankles and went sockless. He's now a captain. Presumably, they never noticed.
Also, if you can, use reflective tape or straps to easily distinguish your bag at a distance from all the others. It not only helps you see your luggage actually being loaded onto the aircraft, it makes it far easier to be sure that bag you just hauled off the carousel is really yours.
I know. That's a tough statement for a demanding consumer to embrace, but it's true. You can't change the way airlines and airports operate these days, but you can greatly de-stress the process by giving yourself enough time and learning which hurdles you have to jump over -- or chutes you have to trot through.
Above all else, and regardless of what frustrations you encounter, keep your temper in check, and be courteous, friendly and calm. Medical research tells us a lot of heart attacks occur about two hours after a person gets mad, and that would be just about over Cleveland.