Check your free memory: Options / Status / File Free:
Originally Posted by starman
What you are describing is typical of the problems caused by low available memory. Any time "File Free" drops below 12 000 000 bytes, the phone will start deleting call logs and text messages without warning to free up memory. Text messages may be deleted as soon as they arrive, before you have had time to read them.
A battery pull recovers memory and will alleviate the problem temporarily. The solution is to remove the stuff you don't need (the sample video, wallpaper, themes, other languages, brickbreaker, etc.) from the device's memory. The following procedure, originally written by Forums Moderator Reed McLay will guide you:
Also, if you have a Media Card, be sure to put pictures, videos, music, and ringtones on it, not in your device's memory. Keep in mind that Media Card memory is not device memory. You have to keep your device memory above 12 000 000 bytes, regardless of the capacity of your Media Card or how much free space it has. Finally, you can't at this time run programs from a Media Card. Programs have to be installed in and executed in device memory.