I noticed a lot of people having the same issue as me where, for whatever reason, all my txt messages are being completely deleted without telling the phone to do so.
I've created a bug report at the Google code site, and so far have about 22 "stars" but I'd like to get it's priority bumped up to high.
Here's the link to the bug report:
Issue 5669 - android - Droid deleting all Messaging/SMS conversation threads at random or triple sending - Project Hosting on Google Code
If anyone else is having this issue please post a comment at the link i provided with details on what you were doing when your messages were deleted.