Ironically, for people who travel a lot, the exact opposite happens and we are frequently "encouraged" to use our baggage allotment to reduce courier costs for the company.
Particularly for confidential things, or when in real hurry, I really can't ship it, I have to carry it along.
A typical case is that we have software in development, I'm about to demonstrate it to a customer tomorrow, and before I leave for the trip, I'm making the final build and tweaking of demonstration data set at office and installing in the laptop that I use as a demo server.
By the time I'm ready, the DHL shipments for the day have gone and if I ship it, it would be there one day after my demo. So it has to be in my luggage.
Yes, checked-in luggage may also be lost and delayed, but with direct flights, I'll be fine as long as I'm not going to CDG (Paris).
