Other than a few pencils in elementary school, I've never had anything really expensive stolen from me. Although one time my mom's car got broken into and the other things the thief took was her CDs.
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Someone broke into my house once and took my 360 and Gamecube. this was back in 2006, and the thing I miss the most is my original Oblivion save files. My mom, (a bamf) refused to let us be affected by that and she found a 360 Elite for 300$ within the week.