Here's an example: when I was going to be confirmed, I needed a copy of my baptismal record. I wrote to the Episcopal Church in the town where I was born, but they didn't have a record.
So, I asked my mom. It turned out I was baptized later, in the Lutheran Church, after we moved. So, which kind of Lutheran? There were three different churches there. I asked my mom, and found out we were Augustana Synod (the Swedes, naturally). (We couldn't be American Lutheran Church or Missouri Synod, because they wouldn't let my dad be a Freemason.) With a little research, I found out that the Augustan Synod merged with some other Lutheran groups in the early 1960s to become Lutheran Church in America.
So, I wrote to LCA church in the town where we lived when I was baptized. Their records were missing for that time period.
In the end, it turned out that the only record of my baptism was a certificate my mom had in her safe. I sent it to the church, they verified it was the minister's signature, entered my baptism in their records, sent an extract to the church where I was going to be confirmed, and sent the original certificate back to me.
I could tell lots of stories like this one. Most of the time, baptismal records are hard to find because there are several possible religions for a particular family, the denominations might have merged or split, and the local churches might have merged or split. Sometimes the local church has even switched denominations. And, you're never quite sure the baby was baptized immediately. So you're never sure you'll find anything.
Unless you're dealing with 18th and 19th century southern Baptists. Then, it's probably not worth looking. They all got baptized in the river at revival time. You might find church records, but you won't find baptism records ;)