I've never had a wheel come off but I had a VW Beetle once where I noticed a thump, thump, thump each time I came to a stop. After about a mile in town I stopped and started poking around. I found the right front wheel loose and fixed it on the spot.
The goofy car was my '65 Dart. Chrysler, in their infinite wisdom, thought it should be equipped with 13 inch wheels. The right front tire never lasted long enough to wear out (slant 6.) Some summer day I'd be flying down the freeway at 70 mph and hear a bang. Clearly someone had a blowout, so I would look around for someone pulling over. After 10 seconds or so of looking and seeing no one I would head over to the right side of the road. As I decelerate on the shoulder the front would start thumping around 40 mph. It was me again -- I got good at changing a tire on the side of the freeway. The weird thing, the car had absolutely no reaction to a blowout of the right front tire. I could take my hands off the wheel and keep going strait down the road. I really had to look around for someone else swerving or pulling off the road to figure out it wasn't someone else.