As of 2014, the U.S. space program has lost two shuttle missions, with a loss of 14 astronauts' lives. The two lost shuttles were the Columbia, in 2003, and the Challenger in 1986. According to Space.com, the Columbia was lost when its heat shield came apart on re-entry.
Unlike the Columbia's last mission, which saw the shuttle destroyed at the end of its two-week mission, the 1986 STS-51-L Challenger mission failed to make Earth's orbit. According to Wikipedia, a hot gas leak developed in a faulty O-ring on one of Challenger's solid-fuel boosters, which caused the shuttle to explode only 73 seconds into its launch sequence.