I also had this ghost-file-data-loss issue on two MacBook Airs (fresh Lion installs) in conjunction with Western Digital my Passport SE external drives. I called Apple support and opened a ticket. A very nice and cabable Tier 2 admin got back to me after a few days and said that engineering is aware of the issue and I'm not the only one having this problem, so it has their attention.
It appears that they are researching the root cause now. I'm also stunned that such a huge bug can make it into the golden version. We almost lost much of the data we had originally saved to the external drive before installing Lion. Only because of luck and due diligence did we notice that not all files made it to the internal hard drive when we copied back our profiles. If had not caught this, relied on finder, and deleted the backup, this would have been a desaster.
This seems to be limited to Finder only, however, a bug this basic in file management makes me wonder if my data is safe in general in Lion. Who knows if Time Machine really copies everything as well?
Anyhow, I'm using a trial version of Pathfinder until this is resolved, it works reliably. Other than my eating data, Lion is great 🙂