This happened to me a few days ago, and I'm afraid you've lost them permanently mate, sorry
Happened in exactly the same way, I receive a new text, tap the Messages app, it opens, crashes, Android displays an error message that the application needs to be force-closed, I click ok, relaunch it, it's empty!
I'm assuming that Android stores text messages as a simple database file rather than having each individual message as a separate file, in which case my guess is this happened because the messaging app crashed just as it was writing to the database to set the new message from "unread" to "read".
I've asked around, and it seems that some Desire HD users have also had this problem, so I'm *guessing* it's a problem with HTC's Messages app. Some of them reported that it happened when they had a thread of messsages longer than 200 texts. I'm pretty sure that this was the case with me (ie. I did have a >200-long thread), but of course I can't be sure if that was the reason the app crashed. If that's the case, and it IS HTC's app, you could presumably download an alternative from the Market (Handcent seems popular, and I'm sure someone has a link to the stock Android SMS app's .APK somewhere), and/or don't let threads get over 200.
TBH though it could be the way Android handles messages rather than HTC's app for all I know (I'm only assuming it's Sense's fault because everyone I've personally heard reporting this problem was on a Sense 2.0 phone), in which case even using a different app won't stop it from happening again, and the only way to secure against it is to perform backups.
I've personally been using SMS Backup&Restore, but when the excrement finally hit the rotating blades I discovered that it hadn't been performing its backup (which was scheduled to run everyday) for the past several months! Rummaging around in its settings I found out that this might've been because I had it installed on the SD card rather than the main phone memory. However, it could also be cause Android was force-closing it to preserve memory or something. If anyone knows a more reliable backup app please let me know!
I'm really not happy with this situation. Whether this bug is the fault of HTC's software or not, it's really idiotic for a supposedly-robust phone OS to maintain only a single copy of critical user information. How hard is it to have a backup ffs? Contacts and email they can get away with cause they're theoretically backed up to the cloud (unless of course the user chose not to sync to Google...) But c'mon, it can't be that much of a hassle to maintain a backup of texts! How much space does it take ffs, 500KB? The user shouldn't have to rummage around on the internet for third-party solutions written by some helpful 14-year-old hobbyist coder!
I like Android and all the flexibility it gives you, but until they sort out all these little niggles with it it'll never have the reliability and robustness to displace BB as an enterprise phone OS.