In my experience, packet loss does not happen too often. When it does, it seems to happen in bursts. Reordering seems to be much more frequent.
However, most important is that it can happen. For a simple game state this is not an issue (simply drop the old state and interpolate), but you really need to be prepared issues with game events (e.g. chat messages, kill events).
Most net-libs (DirectPlay, ENet, RakNet) implement a way to mark packets as 'reliable and ordered', thereby ensuring that packets arrive and are sent to the application in the correct order.