Yes, me too! There have been times when I couldn't find my sword and had to reload. How can you tell when they are about to shout?
You'll typically start to hear the audible part of the shout before the effect hits you. If you're quick enough, you can hit your hotkey (if not on PC, you can probably just bring the menu up quick) to disarm your own weapon.
Like, lets say I'm holding my axe and shield and I come upon a deathlord. He'll start the audible part of his shout so I'll quickly hit my hotkey for my axe which disarms it and brings up my fists. The shout hits me and knocks me back a little, but my weapon is safe. Then, I hit 5 again, rearm, and go after him.
It's very annoying and frustrating to lose your best weapon in the middle of a dungeon. Sometimes you find it just on the ground next to you and sometimes it's apparently sent off to some plane of Oblivion, never to be found again.