My parents and I just got back from a 12-day Mediterranean cruise on the Celebrity Millennium and had an incredible experience that far exceeded our expectations.
We flew in the day of the cruise (Continental Newark to Milan and Alitalia Milan to Venice) and went straight to the ship. Or at least tried to. When we boarded the plane in Milan we saw the cart with our three bags (and dozens of others) pull up to plane and then back up and swing around the other side. We just figured that the bags would be loaded on the other side. No such luck. After waiting at the (chaotic) carousel in Venice for an hour, we realized our bags just hadn't made it. None of them. We headed over to the lost luggage line and stood behind about 50 other passengers. Apparently lost luggage is the norm at the Venice airport, which the concierge on the ship later confirmed. Sixty people on our cruise sailed away without bags. We spent about two hours filing a report, etc. and then headed to the ship by taxi. (You don't need a water taxi, just a 15-minute trip and it is cheaper than the Celebrity shuttle.) When our bags didn't arrive the following morning, we panicked a little and headed to the airport to see if we could try one last attempt to locate our bags. It was a hopeless cause and we missed our day in Venice. Though almost 100 bags from our flight were missing they couldn't seem to locate ANY of them. So we headed back to the ship and waived goodbye to Venice and our luggage at sail away. We were finally reunited with our bags six days later in Athens. Morals of the story: take a direct flight if you can (Venice is apparently notorious for losing luggage), pack as many necessities as you can on your carry-on, and take a photo of your luggage on your phone or digital camera before you leave, so if it is lost, you can show it to the lost-luggage folks.
The rest of our trip was outstanding: