A couple non-bug possibilities:
If you're doing any kind of automatic equipment switch-out, if there is not a space in your inventory AS IT IS CURRENTLY ORGANIZED where all your items can fit (there's basically a split-second where your initial equipment and your subsequent equipment are both in your inventory and you are naked/empty-handed), they may be dropped to the ground. To prevent losing equipment to this, just keep an eye on your character's feet, and pick up anything that's dropped.
If you put items into storage - either a quarter chest or citizen storage - beyond their capacity, they will disappear at reset. To prevent this, check your combat log any time you interact with storage. If it's permanent storage, it will print out what your capacity is and how many items are inside.
If you acquire something in your inventory and the server crashes, if there has not been an automatic save between the acquisition and the crash, you will lose the item. To prevent this, type "-save" into the console after acquiring anything valuable, either looting it or trading for it.