Here's a couple of tips: 1. Always format your CF card in camera before shooting. 2. Don't delete images in camera as you shoot (can cause corrupt files). 3. Transfer the images to your computer, then immediately make a backup dvd. 4. Check the images and make sure all is well BEFORE you format the card to begin shooting again.
If you do format the card by mistake, the images aren't gone forever until you shoot new photos over them. You can use recovery software to get the photos off the card, even after it has been formatted.