One assumes a domain name is safe with an ICANN approved registrar, and when you pay the domain registration or renewal fees, the domain is actually renewed or registered. But it seems this was not the case at RegisterFly, one of the larger  registrars. Money paid for domain registration by customers seems to have been used for other activities.
http://www.theregister.co.uk/2007/02/22/registerfly_ceo_lawsuit/ . 75,000 domains were lost. I suppose you have to move your domains at the first sign of trouble or distribute your domains among multiple registrars.