I've flown >60k miles for the past 5 years. I've had my bags delayed exactly once, for a whopping 12hrs. The 5% is bullshit, 2005 domestic delayed/mishandled bag rate was .61% (roughly 6.1 bags per 1,000 passengers) - and Arch is on the money because >60% of that is mishandled transfer bags. Tight connections increase your odds of mishandling. People who carryon climbing gear (or ski boots, or any other nonbreakable) just want to look cool in the airport bar, take up binspace and fuck up boarding.
I am just relaying my experience. I have probably flown 20-30 times in the last 10 years and my bags have been delayed twice. That's 5-10 percent. My wife flies a bit more, and her bags have been delayed twice as well.
I think it largely depends on the airline. I'm sure some are better and some are worse.
I don't necessarily doubt the 0.61% overall rate, and I suspect that if I did fly more that my percentage would go down.
I would also agree that tight connections increase the likelihood, but my worst experience was a direct flight from Raleigh to New Orleans, where apparently they never bothered to take my bag off the plane. I got approximately 36 hours later (after the wedding I was attending) just in time to go back to the airport.