For me, it actually happened WHILE I was playing. I went to do a quicksave, which had been working fine the 20 or so other times I had used it, and instead I got an error message (Sorry I wasn't quick-witted enough to think to write it down) and when I went to try and do a normal save, there was nothing listed on the save screen. I got the box, but no slots were visible.
Running The Demo Version V1.042c, on Windows XP, 1GB Memory, GeForce FX-5200, ~8gb free on C:
I was running AVG Anti-Virus at the time, but shutting it off hasn't brought back the saves.
Edit: Now that I know where to look, I went and poked around the save game files. The Directory for Slot1 is just missing. Slot2 - Slot10 are all there, as is a tmp directory (which is empty). I going to attempt copying Slot2 to create a new Slot1 and see what happens....
Yay! That's fixed it. I lost the quicksave, but my Slot2 save was really close, so no big deal. It seems like what's happening is that Slot1 goes hinky, and the game gets lost or just stops trying to process the rest of the slots.