According to the "No Electronic Theft" act, you can make copies of material you have purchased the rights to use, for you own personal use. That is, make a copy of your VHS to DVDs. You can make MP3s of your CDs to use on your IPod - Assuming there is no DRM on it, which is another issue altogether.
If you want a good solid rock - go find a copyright lawyer to get advice on specifics. Otherwise, in a general sense:
1. You can make personal use copies of any copyrighted work that is not intended for redistribution - even copying to a different medium is generally permissable.
2. If the media is damaged, contact the distributor of the media and ask for a replacement - They may replace the damaged media upon you sending it to them.
3. If the media was stolen because you left it in plain sight, be more deligent in protecting personal property in the future and go buy a new one or catch the theif and get it back, but good luck, it generally becomes a he said, she said type of issue.
4. If the media was stolen or damaged as part of a home or car break in, your insurance company may cover the replacement of it, check with them.