Interesting thing happened to me. Lost ALL my messages one day, exactly the same situation as everyone else in this thread.
After extensive searching on forums, I believed that they were gone for good, and just decided to get on with it.
Installed SMS Backup and also SMS Backup+, so that if it ever happened again, I would be prepared.
For days I was kicking myself for not having these running from the start, then one morning when I woke up and looked at my phone...... ALL my messages were back.
Was now very confused. Re-sync'd my backup software, and did a full backup. I now have a full backup of everything I lost.
Now... Today when I woke up.... they are ALL gone again.
I am confident that the problem is not that the messages have been wiped from the phone, but rather there is a bug preventing them from being read by the software. A corrupted file or database is my guess. Both incidents occurred when messages were either being sent or received. Today's incident, 2 SMS received from British Gas. Unread message counter was showing 2 messages, but no messages displayed. Once I rebooted my phone, I could then see the 2 new messages.
I hope my description of the issue helps someone find a fix for this bug. Everyone (Including HTC tech support) told me that a bug existed, and unfortunately my messages were gone for good. This is obviously not the case.