I use a bike to get everywhere since moving to Pittsburgh, and when I am shopping, I am constantly locking and unlocking my bike. Once every ~4 months, I'd guess, I forget to lock my bike. I never leave my bike locked for more than an hour or two, so I'm sure that has helped me not lose it. Each time it happens I feel like an idiot, but a very lucky idiot.
Anyway, it happened again last night. I was shopping and got this weird feeling that I had no memory of putting my lock on. The problem is that sometimes locking up the bike becomes so mundane, that it is easy to forget having done it. I typically try to pay special attention to locking it so that I remember. So there I was in the store with a creepy feeling, unable to remember if it was locked or not. I quickly finished shopping and rushed out to my bike which was ... unlocked! Aghhh! So glad it was still there!
Anyone else have this problem? What do you do to remember to lock your bike while distracted with water, shopping bags, panniers and possibly a cell phone?
I never forget because my lock is so stupidly heavy that if I leave it in a pannier (which I then carry inside with me) it cannot go unnoticed. My shoulder alerts me to the situation immediately. Otherwise I'm sure I would forget alllll the time.
Once i rode to work late for a night shift and realized i forgot my lock. It was my second week at a new job and couldn't go back home and Mrs.marvelous was away. 12hrs over night unlocked.
I leave my lock at home sometimes. Sometimes I even think about it in the morning, and think that I won't be going anywhere that I should need to lock it... but lately it is a mistake if I take one pannier and it was in the other or something. Anyway, I tend to leave it places it isn't too risky, even when it is some, and also my bike is ugly, which helps. Also just lucky, though, I've left bikes unlocked a fair bit.
On Sunday, I came out of Pitt's swimming pool at bellefiled hall and started puttiing my pack into my pannier. At that point, I realized that my lock was still in the pannier. That was the first time thawt has happened to me.
Occasionally, I forget my lock. Or worse, carry my heavy lock and forget the key.
At work, it's not much of a problem - the bike racks at Mercy Hospital are pretty secure and I dont' worry. Various places I've gone, I hide my bike.
Most destinations have someplace that's OK to stash a bike as a one-time thing. On occasion, I've used my helmet to fasten a U-lock left on the rack to my bike so that, to a passerby, makes it look like it's locked. Pretty much the only time the helmet is more than a fashion accessory.
Walked out the door once a couple months ago and realized I'd locked my keys inside, so my lock would be no good. Had to bring my bike up to my office that day.
There've been a couple times I've been so distracted I almost walked into work without locking my bike up, but like pearmask my lock is so heavy, I usually notice when it's still in my bag. I did walk out one day last month and realize I'd left my bike unlocked for an entire work day--fortunately my office is on the very edge of Pitt's campus, and I got very lucky that day.
I've done it once or twice for a short amount of time. 
I've never forgotten, but I've spaced out and locked the lock just around my frame and not around the bike rack/pole/thing I'm locking to.
Since I know I tend to do that, I try to stop and double check my bike before leaving it.
Left a bike on my porch in my fairly nice neighborhood for about 5 minutes once. The bike I replaced it with is nicer, but I don't forget anymore.
I have also done what pinky did.
When working at south hills village mall, I once left my bike at the first avenue station unlocked. Normally this would mean I would get it 8+ hours later, but I had gotten a ride home with a co-worker that night, and expected to just get my bike the next morning, because it was safely locked up, right?
Wrong, but it was still sitting there, untouched, almost 24 hours after leaning it against the bike rack.
Haven't done it since.
I have leaned mine against a rack near a store and walked in with a lock. Got looked at sort of funny and when I finally figured out why I was back at my bike, lock in hand, trying to find the lock. One of the customers walking out thought I was going to hit someone based on whisperings I heard as they left.
I left my U-lock hanging wide open, on the sidewalk - in full view of all pedestrians downtown - at Three Rivers Arts Festival.
When I lived in Berkeley CA, I once left my touring bike, unlocked, leaning against my car, also unlocked, in the driveway of my apartment. The next morning, when I realized that I'd forgotten to bring in the bicycle, I went out and found it gone! Fortunately the car was still there. I filed a police report but never got the bicycle back.
Berkeley has a thriving bike theft market.
Ever since then, I've been obsessive about locking my bicycle.
