For downloaded music and movies, there have been numerous examples of of people losing access to their purchases when a DRM authentication server is taken down or the company running the DRM scheme has gone belly-up. I'm actually surprised at how infrequently this is an issue with ebooks though.
Edit
Business decisions also made this an issue with Fictionwise:
http://dearauthor.com/ebooks/how-to-...-and-overdrive