Private pilots seem to have it about their head that it won't happen to them...perhaps as professionals we're all wrong. The entire industry, is wrong, of course, because of the remote possibility that something might go wrong.
I don't think that is strictly true. I think that if you dwell on the chance of a SE engine failure all the time then one would never fly anywhere past gliding rang of a landing spot. One would never fly it at night, and one would never fly over water or do anything "adventurous" like cross the north atlantic. It is good to be prepared for one and react properly if it does happen.
I prefer to increase my chances by running an engine in good condition, an engine that has been dynamically balanced along with prop, an engine which has been maintained properly, never run out of fuel and make sure I check the oil every time I take off. Proper engine monitoring also increases the odds. If then the engine lets go, then at least I know I have done my best to minimize the risk.
I have read numerous stories of high time pilots who have had many engine failures and one of the last i read was about a chap in his twin who's engine let go (BTW he had 10000's of hours). But as the story unfolded it appears the engines had done something like 2600 hrs and were being run on condition - which IMHO increases the chances of the engine failing.
The same goes for flight testing at night over the desert (Arizona?). IF something goes wrong, your chances of sucessful recovery are reduced. Obviously being in a corporate environment then there is more pressure on pilots to fly when maybe they don't want to.
I remember sitting at the end of the runway in the RHS of a King Air just after the heavens had opened up, staring into this biggest blackest sky you could imagine with Cb's forecast...and staring at the hole in the dash where the weather radar used to live, but had been removed for maintenance. Had I been flying myself in my aeroplane, I'd have taxied back and had a cup of tea, but we had no choice (it really was a matter of life or death)....so off we went. That was the second time in my short decade of flying that I was actually reasonably scared (bearing in mind ATC in the UK can't paint weather on the radar).