So far I must have been lucky. My packages travel an average of say, 15000km to reach me - and so far they've ALL gotten here with the exception of one surface (seafreight) one - I'll never use seafreight again. Insurance claim was repeatedly investigated and never paid, they simply stopped contacting me about the case. From that day onwards I decided I'd rather spend in the insurance money on express air trackable shipments and get the package faster, better, and with less risk of loss.
UPS delivered 3 packages recently, 2 were fragile electronics (one of which was a digital SLR camera body too!) and they all made it. Credit's got to go to B&H as well for packing 'em like they're being shipped into a war zone..
I would however refuse to sign for an obviously severely damaged package, though. If it looks seriously wrecked, I would ask a few questions (and they'd better have GOOD answers) before I sign.