So I quit, and went to save my game to HDD just in case I had the same problem. Problem is, I couldn't find my saved games. I still had my Skyrim installed to HDD at least BUT no saved games or Auto Save games. So now I can say this should be a Skyrim problem. How can Skyrim be deleting games and installs? No idea. Unless I have a faulty memory stick, but had no problems with it before when using it for the PC.
Reading posts from other people and read they have lost saves as well, I can confirm that thisdoes happen to memory sticks now. Can't remember if the other people who lost saved games are from 360 HDD or PC or PS3, but I can confirm now that these people are right.
So for people running off memory stick make sure you have a back up copy of your games. In fact everyone who plays on the 360 should be having back up copies of their saved games as well. Hopefully Bethesda knows about this problem and is working on a fix as well.
