No personal experience, but I have listened to the screams of those who've had it happen to them. Any storage system — be it a single drive, a USB key, tape, a huge RAID installation, or Amazon S3 — will eventually fail in whatever manner is most inconvenient to you. A second failure while rebuilding a RAID 5 set is just one of the ways this can happen.
As an aside, support for triple-parity RAID was integrated into OpenSolarisintegrated into OpenSolaris a couple of days ago -- so at least one vendor thinks that allowing for two additional failures during parity RAID rebuild is worth the engineering effort.