I'm glad you got your images back, Baz!
FAT32 should have died a long, horrible death many years ago... it's such a shame that it's still so heavily used. The problem with it is that there are only two indices (the "file allocation table") stored at the start of the memory card... right next to each other in memory!
This wasn't quite as bad with spinning disks because disk sectors were (at the time) written independently in hardware. However, with flash memory in order to write even just a few bytes (e.g. adding the entry for one extra photo in the file allocation table) the card needs to erase a huge block of memory first. Between this, caching, and the camera/card being powered of at an inopportune moment, the chances of data loss is very high.
Slight tangent: journaled file systems such as NTFS or EXT spread the allocation table across the entire disk, and they also keep a log (journal) of what they're doing, so in case of inopportune power loss the device can just roll-back the changes and no harm done.
For what it's worth, my inner programmer is a little anal retentive when it comes to swapping CF cards... I *always* turn the camera off first, wait 5 seconds after all the lights stop flashing, swap the cards over, wait 5 seconds for the camera to read the card (even though it's "off"), and then power on the card. So far so good...