Just once. I was trading those darn state pins like crazy, and of course I wasn't checking references on everyone. Well, I traded with a lady and never received my pin. When I tried to contact her via email, her email address didn't work anymore. Then I posted on the boards looking for her, and did not find her, but found two other people who traded with her and never received their pin either. Well, I guess one bad one and a 100 good ones isn't too bad of a ratio.
It also happened to me once that I sent someone several pins and they never showed up. MIA at the post office.