I've never been part of a TPK. In all honesty, none of the people I've played with (which really isn't that many) would have the heart to pull one off, since my group and those we play with tend to invest so much of ourselves into every character we make that we all see a TPK as such a waste. In the end, either the PCs pull through with a bit of luck and hints from the DM, and when that doesn't work, if absolutely necessary, there's occasionally a Deus Ex Machine in there somewhere.

...That being said, I don't want you to get the impression that our games are easy, or that there's a lack of danger. Let me put it this way: There have been a few games where, basically, a TPK happened- except instead of the party dying, something far, far worse happened.

One prime example- not quite a TPK, but a perfect example of how a couple of the DMs I know work things into their favor. Long story short, I was playing in a solo adventure with my human Barbarian Ichi, and an elven man came and pleaded with me to save some of his brethren who had been taken prisoner by some brigands who had taken over his home. I went in, bluffed my way around (with the help of a potion of Glibness), and found out that these guys were in league with a bunch of demons and whatnot. I managed to kill them all, and was cleaning up the loot when I noticed a hatch on the floor. I opened it, climbed down, and failed a Will Save.

Next thing I knew, the elven man who had hired me was dead, seemingly by my hands, and the two neighboring nations (one of which, that "elven man" was a prince) were at war, and I was on trial for regicide.

....I kinda would have taken a TPK over that.