Parts fall of bikes. This shouldn't happen, but often does because most of us don't take the time to check bolts before every ride--or even every month. Pedals, however, shouldn't come off. Whenever the founding fathers of cycling got together to make pedals, they made some wise decisions: "Thus let us counter-thread one of the pedals. Therefore, whilst pedaling, thy pedal will tighten and won't have measure to loosen with the motion of rotation." Very wise indeed. That's why pedals have a definite left and right side--they are designed with a tendency to tighten while pedaling. In fact, most people complain that pedals are a bear to remove and suggest greasing the threads first.
For my part, however, there is a strange magnetic field surrounding me which actually has the ability to reverse the threads while I'm riding. At least, that's my theory. How else can you explain that, although I've never met anyone who has lost a pedal before, I have had it happen twice. I know what you're thinking: "This guy put the left pedal on the right side and the right pedal on the left side." Wrong. Not only are you wrong because I verified the pedal after it came off, but you are also wrong because you can't thread a counter-threaded bolt through a normal nut (or, in this case, the crank arm) without destroying the threads of one or both.
So, strange as it may sound, after installing some new cranks for a review (really nice cranks, watch for the review here), and tightening them nice and snug, my pedal came off while pedaling. Strange? Well, unfortunately not for me.