The GEAM Trust Enhanced Cash Trust, is shutting down, and investors are getting $0.96/share. While this is a money fund, and not a money market fund, it is generally viewed as only a marginally higher risk, and losing money is nearly unheard of. Typically, it is a guaranteed $1 in, and $1 out, with the risk being that returns would be poor.

There is a possibility that this might happen with Money Market funds too, though it is less likely, as they are more tightly regulated, and they make safer investments, because their investment strategy is not as aggressive.