The bug is not 100% reproducible, but the number of posts on Apple's support forums is rising (1, 2, 3, 4, 5). It is said that if you had your guest account enabled prior to installing Snow Leopard, then it could be that after you login as a guest user after installing Snow Leopard, the data in your regular account will be gone. As in, deleted.
It is speculated that the actual bug is that after logging in to the Leopard-created guest account while running Snow Leopard, your regular account gets treated like a guest account - as in, all data deleted after log out, settings returned to default, and so on.
"When I logged into my MacBook Pro this morning, it was as if I had logged into my Guest Account and not my standard user profile," user parshallnet said, "No icons on the desktop, the desktop wallpaper was the default 'space' photo and not the one I had assigned, no documents in the docs folder, apps behaved as if I'd never opened them before."
Reports of this serious bug first started appearing right after Snow Leopard shipped, but the problem has yet to be resolved. A temporary precaution is to disable the guest account, or to create a regular account and restrict it using parental controls. For users who encountered the bug and have lost all their data - unless you have a backup, you're pretty much done for. Your data will be gone.