I had this problem when I first got the phone. Not sure if you guys are having the same problem I was.
I'm using the Handcent app for txts. But the DROID comes with a stock Messaging app. If I have the Handcent set to never delete messages, but the stock messaging app is set to delete after a 100 or whatever, it will whip all messages from both txting apps. Make sure the settings for all your texting apps are the same, or shut off the delete option for a txting app you aren't using.
See if that helps.