Oh yeah, a few times. I remember each in lots of detail too, especially that violated feeling you get plus the anger.
The first time i was about 5 or 6. Our family lived in an apartment house and we (my brother and i) were good friends with the upstairs neighbors. One night we went to a family parth that was actually directly across the street from us where our aunt lived and when we came back our room was slightly trashed and my brother noticed some of our stuff missing.
He accused the kids upstairs, our "friends", saying that they snuck in thru the window because it was open when we arrived home but closed when we had left. Our parents took us up there and explained the situation, their parents brought them out and they admitted to what they did. My brother got back our NES games and a couple of his TMNT action figures but the one thing of mine that i couldnt find wasn't returned. The lil brat was holding out on me and no one would listen. The item? It was the Bat Plane/Jet whatever it was called. It was an awesome little toy back when toys could be made of METAL. It was super durable with only a few scratches in the paint from the few times i'd dropped it. I loved that thing as well as my other Batman toys but that was my favorite.
The only other significant time i remember getting something stolen was in highschool. I was in PE at the time, but i wasn't playing because i was ill. I did however change into shorts (no, not gym shorts) so i could get a "participating" mark for the day but after a few mins of sitting on the bench i decided to go back and get my wallet out of my jeans which i left in the locker. When i did there was one other guy in the locker room and he saw where my locker was...
I get my wallet, go back out there and then decide to go back to the locker room and get get my cd player. From across the room i see my locker open... everything was missing, and by everything i mean my jacket, my jeans and my cd player. My first reaction was to punch the locker, which startled someone who walked in a few seconds after me and went to the bathroom. He comes out of the bathroom and was like "yo.. is that your **** in the bathroom? Theres like some clothes toss around in there." I go and in the last stall my jacket is hanging over the stall and my jeans are on top of the toilet with a pant leg dangerously close to being dunked in toilet water.
Inside my jacket was my headphones, which were ripped, probably because they yanked the cd player they were attached to out of the pocket and the headphones got stuck (it was a weird pocket). Blah..
I went to the PE 'teacher' and told him the situation, his response was "well the schools not responsible because you shouldnt of had it [the walkman] in school anyway." I tried to argue that it was the schools fault for not supplying locks for the fucking lockers.. There was no combination pad, there was no external lock/combo given to you it was just a rusty lil cubbin in a wall, half of which never even closed properly.
The worst part of it all? I couldn't even tell who the guy was, the one that saw me go in my locker and get my wallet out, because i didnt see his face and he probably wasn't even part of my class, just some kid that decided to come play basketball with his friends.