Yes, I've been lost. It's kind of a sick feeling.
I always look at a map and come up with an emergency recovery plan. That usually amounts to knowing that if I walk in a certain direction, I am going to hit a linear terrain feature (a road or trail is great, but a ridgelne or creek will do). I might have a long walk back to camp but I'll make it.
I always carry a lensatic compass even if I have a hand held GPS with spare batteries.