The Ministry of Defence in the UK has told parliament that it had lost or had stolen 87 USB drives holding "protectively marked", also known as classified, information since 2003. But, almost all had been marked as "Restricted" data – which is basically used for almost any documents that it writes up and is the lowest form of classification.
However, one further USB drive, lost in 2006, held "Confidential" data – the second level up. According to The Register, it is not really much different than Restricted, but are to be handled more securely; and to shred hard copies under this classification and not put them in the bin – but this can be discussed with families and friends.
Five more sticks, however, were marked "Secret"; however, it never lost any Top Secret information – which is the highest level of classification (and proper, according to The Register).