I've encountered two myself (not too bad since I've been reloading since 1965), and I've seen a few others.
My first "squib" load happened about 20 years ago when I was shooting silhouettes with a .44 Magnum revolver. I was shooting at the rams, and I fired a shot, and there was very little noise and no recoil. I stopped immediately and opened the cylinder. The primer had gone off, and driven the bullet and the powder charge (21 grains of 2400) into the barrel, and completely clear of the cylinder. The cylinder would open, so it would also have revolved to fire the next round, which would have been disastrous. When I opened the cylinder, I could see the powder packed into the forcing cone, and packed tightly together. What a pipe-bomb!
The primer was definietly not at fault. All the other loads from that box had fired normally, so I don't really suspect the powder. I had stored that ammunition in my garage for several years, and it was subject to some temperature cycles and extremes. I attribute the problem to that.
Moral: Even if you have safe and dependable ammunition, improper storage makes that suspect. Either store it in good conditions, or consider it suspect!
My second problem (also many years ago) came with a 6mm Remington caliber Remington 700 rifle. I had been working up some handloads, and I had read that you get the best accuracy when the bullet just engages the rifling. Well, that seemed to be true. I had ended up with a load with the 100 grain bullet seated out to the point where I could just feel the bullet against the rifling as I closed the bolt. Accuracy was great, and I thought I had a good load.
Then, fortunately, the range officer called a cease fire just after I had loaded a round and was preparing to fire. I opened the bolt and extracted the round. To my surprise, the case came out, spilling powder into the action. The bullet was nowhere to be seen! A quick look down the barrel confirmed that the bullet was stuck in the rifling, and had pulled out from the case.
That incident wasn't dangerous on the range, since I wouldn't have been able to chamber another round without noticing the bullet stuck in the chamber. It could have been embarrasing, at the least, if it had happened on a hunting trip with no cleaning rod handy, or in other even more critical circumstances.
Moral: When you think you have a good load worked up, try cycling them through the action INCLUDING EJECTING UNFIRED ROUNDS.
I just approached the 3500 character limit, so I will continue this in another post.
Until then, BE SAFE!
GunLaw