Always save. Always backup.
The Sony PSP makes not saving your games beguilingly easy. It's a portable gaming system, after all, and if you're walking down the street playing a game or on the subway, you might have to put it away at a moment's notice. So the system is really, really good about keeping your game state intact if you toggle the power.
Now, I've spent much of my time recently playing a superb dungeon crawler called Untold Legends. I've been pretty consistent about saving every time I complete a quest or reach a new level. Unfortunately, common sense took a back seat to laziness about two days ago, and I stopped, just toggling the power instead. Last night I jacked it into the AC adapter to pump up the batteries; the PSP was getting low.
For some reason, Robert decided when he woke up this morning that today was the day he was going to screw with the PSP. He turned down the volume, and discovering that I was mid-level, quit the game I was playing.
Big mistake.
There is no joy in our house this evening, and I've lost two days' (probably about three hours, realistically) of game play.