The default filesystem OS X uses is a journaled system, meaning that writes should be cached before made permanant; however, this should be transparent to the Finder. In some instances, a file or folder entry may be created before its contents are transferred (such as a download container folder), and if a problem occurs during the transfer then this may be reverted, but the file entry may be left behind with zero bytes in size on disk.
However, if files and folders with known content suddenly become zero bytes in size, then this suggests damage to the filesystem structure.
Try opening Disk Utility and checking your drive for formatting errors (use the First Aid tab, and run the Verify Disk routine on both your boot volume and the boot device). If there are any errors, then boot to the OS X Recovery partition by holding Command-R at startup, and then use Disk Utility there to repair the drive.
Is the Downloads folder you're referring to the one in your home folder, or at another custom location on disk? If the later is the case, then you can try copying its intact contents to another location temporarily, then delete the folder followed by recreating it and copying the contents back. If the problem is happening because of a fault only at that folder in the filesystem structure, then this can be an easy way to clear and recreate it. However, if it continues and especially if it's accompanied by detected faults with Disk Utility, then consider fully repartitioning and formatting the drive, or replacing it.