I just bought RB2 yesterday, and immediately created my band and characters (Alphabet Soup, Ay, Bee, Cee, Dee). I played a few songs, then turned it off. Then, I turned it on today. My band no longer existed. Nor, did my characters. I figured, oh well, I'll just make them again. So I remade it, and tried hooking it up to Live. It said, another band already has that name. WTF. So I just left it at that, and made my new characters (Ay and Bee, only one of my friends was here today). We finished up, and dressed up our characters again. We then went somewhere else. When we came back, my Ay character was still there, but Bee was MIA, apart from his listing in the roster. Anyone know what the hell is going on?
It'd have something to do with your HD, methinks. Check the storage and go to your memory > Games and check RB2. If you don't have anything done, delete the game and put your disk back in and make a test band.
If everything's deleted, it should maybe try again. That, or it's Gamertag specific. Check out the Rock Band forums, they'd be better at this. My advice for now is pick a new name =/
I remember reading about a glitch in rockband 2 that deleted your stuff. Found a link for you here. I guess you just can't play on an xbox live account and be playing with a non xbox live account on the same box.