I've had this issue a couple times this week, both before and after installing Realm of the Diggle gods. I save and quit the game, everything appears to work okay. I don't explicitly check the game saved correctly, but nothing obviously hangs or whatever. When I go back to load the save game, I find that it and the preceding autosave are both listed, but that the previews are just black rectangles, and clicking 'done' or double-clicking the save just takes me straight back to the opening menu screen. It doesn't appear to happen to all saves. I have successfully started a new game, wandered a little, and been able to reload that save. I haven't narrowed it down more than that at the moment, though.
When it happens, check your save folder (documents/gaslamp games/dungeons of dredmor) to see if the save files are still there.
Thanks. Doesn't look like they are - there's a handful of things which seem irrelevant (config.xml, cookie.txt, hiscores.txt, last.txt) and one other file, loadsave.dat, which is 196 bytes.