I was shooting my wife's graduation ceremony last night (Master's in Urban Planning). Of course, as she approached the stage, my battery started to go. I took 5 or 6 snaps of her, then ran over to my bag to grab my other battery. It took long enough to walk over and fish it out of my bag that I assumed all the images had written to my card. I didn't turn off my camera, and swapped the batteries (1Ds mark 1).
I look this morning, and all the images I took before the battery swap are corrupted. Awesome. I'm recovering now, using PhotoRec (opensource, very cool http://www.cgsecurity.org/wiki/PhotoRec)
So it looks like everything but the snaps of my wife can be salvaged. That seriously sucks. Sort of an expensive lesson learned.
On a lighter note, I rented the 200mm f/2 IS for the ceremony. What an amazing lens. And the comments were hilarious; I had at least 3 strangers talk to me about the lens. If you're going to use it, I recommend a monopod. Mine was too wobbly, so I had to hand-hold. It worked out, but a really sturdy monopod would have been preferable.
So the morals of this story are: use good batteries, don't swap before the camera is turned off, and don't swap before you're dead sure that the images you've just taken are fully written. Especially when those images cost you $80k in tuition.