I hope to ghu this hasn't happened to anyone else...
I'm using the 1.0.3 IDE, alongside Visual Studio 2012 with the Visual Micro add-in installed (which lets you write Arduino code in VS, and has a nifty, if somewhat limited, integrated debugging facility).
I had occasion to open a PDE in both VS2012 and the Arduino IDE. It was saved in VS. I made a few changes to it in the Arduino IDE. When I went to close it I was prompted about went to save it. No problem, no error message.
But the PDE file was deleted from disk.
Needless to say, this was not a fun moment.