Nearest I got was losing 3 sparkplugs (5 good ones left) on the climbout from Southend at night.
Was pretty anxious until I completed a swift circuit and landed, as I didn't know what the prob was, just that the engine was running a little rough and some power was gone.
I guess that engine failure in a light single is reasonably low probability, but obviously high potential severity, especially over water or at night.
Having said that, if you mitigate the risks by pre-planning (e.g. avoid long over water sectors, stay in the circuit at night), you can lower the exposure -or- you can say to hell with it and accept the risk anyway, on the basis that life is dangerous anyway.
Personally I take the former view, but I know people who take the later and have been enjoying their flying for years.