Over the last couple of days I've had a couple of IMs disappear.
Yesterday, a colleague sent me an IM which never arrived. He cannot see it on his history anymore.
Today, exactly the same thing happened to me. I sent him an IM, and a couple of hours later, it was gone. He never received it.
Skype version is 184.108.40.206 on Win7 x64. Not sure what he's on but can find out if needed.
Before trying to isolate an issue, it's always best that one is running the latest Skype release. Which may in itself resolve the issue.
A new version has just been released August 02, 2011:
Please click the "Get Skype" link at the top of this page and download the normal version of Skype, NOT the beta version to get this new version.
This new version is 220.127.116.11 to check what version you have, using the main Skype client window please do:
Help -> About Skype