The infamous "lost" Chaplin Keystone short is entitled: "Her Friend The Bandit". It apparently has been lost for many decades now and has yet to be unearthed. Perhaps the BFI will luck out and find a copy during the restoration of Chaplin's 34 surviving Keystone films (all shorts plus the feature "Tillie's Punctured Romance"), but I seriously doubt it.
Glad to see there's another burgeoning Chaplin fan on this site besides me. I recommend the 3-disc Essanay collection from Image Entertainment, and the multi-disc "white" sets by mK2 (which have "The Gold Rush", etc.). I'm looking forward to the restored Mutual sets as well.