I lost a phone in Las Vegas once, a bum picked it up and called a whole bunch of the numbers on the little porn cards the guys on the corner hold out. It's a long story but I got it back.
I don't know why parents get so upset about losing your phones (not just you but a lot of kids I know) They're small and easy to lose, if yor parents don't want to run the risk of having to spend more money, tell them not to get you a phone.
If you're like me and destroy them every 4-5 months (Run them through the wash, drop them off high ladders while working, drop them while trying to skateboard and talk on the phone) then I could understand them getting pissed after the first couple times, I couldn't bring myself to tell my wife the second time it went through the wash. As far as she knows, it just stopped working It would be wise to get the insurance on it. Well worth the 5 bucks a month if you trash phones.