I've only had luggage arrive late twice...
The first time was BNE-MEL-ADL, where despite the fact we used the same plane all the way through, they took my bags off in MEL and forgot to put them back on...
and the second time was PER - SYD - CBR, the flight left PER 1.5 hours late, which gave me enough time to get between the 2 planes in SYD, but it wasn't enough time for my luggage to follow...
The closest to an actual problem was a CBR-MEL-AKL trip where they forgot to get some of the bags off the plane... I was a little worried, but there was still about 100 pax standing around waiting 2 hours after landing, so I knew I wasn't the only one who may not have had bags that night...
In each case however, I have enough stuff in my carryon bag which allows me to stay somewhere the night without my checked luggage without too much trouble, and worst case scenario, I can easily go and buy stuff I need the next morning...