In the event that an ICANN-accredited registrar should fail, the agreement with ICANN provides for said registrar to supply ICANN with a machine-readable copy of their registrant data. ICANN then assign the failing registrar's domains to another registrar, the registry reflects the change, and that, as they say, is that.
In the case of .com and .net, which are thin registries, I'd be sure to keep all of the documentation you've got for each and every domain you acquire. In the unlikely event that a registrar fails and no records are available to ICANN for some reason, your records would perhaps be your only shot at getting the domain "back." (You've not really lost it in the sense of a transfer, but you're no longer recorded as the registant, and that's problematic.)
As regards the thick registries, like .org, .biz, etc., I'd still keep your records, but the registry has all of your registrant information, unless you're using a "privacy" service. (The reasoning behind which [using a "privacy" service] I fail to comprehend, but that's for a different thread.)