The most recent incident dates back to the year 2000 when the Kursk, a Russian submarine, encountered a terrible accident in the Barents Sea where all crew members drowned. This was the 7th nuclear submarine to be lost at sea (5 Russians + 2 Americans).
In total, it is said that there are so far 92 known cases of lost nuclear bombs around the world (15 of which we have an approximate idea of the location). Some of which could also be hiding in your backyard or farm field! This figure would be different in reality as I am certain some have been retrieved by now, but other cases might have not been reported for safety reasons. Some rumors raise that number to several hundreds.