I think something like 1 in 5 pregnancies results in a miscarriage, but I do not know if this includes the number of women who miscarry so early that they didn't realize they were pregnant in the first place. This is, like most things, only a statistic.
There are other factors that can put you at higher risk too, such as vigorous exercise, a large daily intake of caffeine, smoking, have diabetes, lupus, a thyroid condition or have had a previous miscarriage. Some STDs can also put you at heightened risk for miscarriage (like chlamydia).
And these are just some factors...you could be healthy as a horse and take all your pre-natal vitamins and not touch booze or cigs or coffee...and the fetus still simply may not develop properly and your body will expel it on its own. But the farther along you are, the lower your chances are of miscarrying. For most women, once you get through the first trimester, the risk drops steeply.