This happened to me recently. I got to the very end of disc3 for FFVIII, and I had just finished all the side-quests that can only be done on disc3. The next time I go to play it, I find that the entire memory card got corrupt, except for three files (and only one was important, FFT). Not only did I lose my FFVIII file, but I also lost my BOFIII, FFVII, FFVI, etc...
Moral: Don't ever try removing a memory card while the power is still on, unless you are at the "Browser/Configuration" screen (PS2) or the "Memory Card/CD Player" screen (PS).

This is also recent. I got to chapter 2 of FFX-2 and realized that I forgot to visit Mushroom Rock altogether and also forgot to do any of the Publication and Matchmaker points thing.
Moral: FFX-2's easily missable crap sucks, but the game's alright overall. Also, check everywhere that's not a "hotspot" before doing said "hotspot"s.