Update November 1st: CiviCRM 4.2.6 was released today with resolution to this data loss issue. You can review details of the resolution and testing process on the issue tracker. A separate database cleanup script has been implemented to handle the original "problem data" issue.
Update October 25th: The data loss issue is limited to sites using Drush to run the 4.2 upgrade. Web-based upgrades should not have been affected. Nevertheless we strongly recommend that folks who have not yet upgraded to 4.2 wait for the 4.2.6 release due out next week.
We've just been notified that running an upgrade to 4.2 using Drush may result in the unintentional loss of some membership and associated contribution data. We think this is limited to memberships that have been renewed one or more times.
If you've downloaded a version of 4.2 (4.2.0 - 4.2.4) but not yet run the upgrade, please hold off and wait for an updated announcement. If you've run the upgrade, you may have seen a message like this: "The following links between this contribution and memberships are successfully deleted:" followed by a list of records. If so, you may need to restore / re-enter the listed memberships.