Gearbox Software's Borderlands, while entertaining, is not perfect. From a technical standpoint anyway, things could go seriously wrong (and have) for some players, including the corrupting of character data and the resetting of hard-earned skill points.
An ongoing list of the game's technical shortcomings, ones that may reduce you to crying or controller throwing, is being regularly updated at Gearbox Software's forums. Many of them appear to be tied to the game's multiplayer cooperative mode, with incidents of players losing skills, weapon proficiencies and loot, but it's the "Save file is corrupted" issue that you should watch out for.
Gearbox has also listed a few performance hiccups that can be corrected using workarounds, should you be experiencing issues. For everyone else who has yet to jump into Borderlands and is planning on doing so, keep an eye on this thread, and tread carefully.
Known Issues Status Update [Gearbox Forums]