We've had ongoing coverage of the guest account bug that cropped up in Snow Leopard, where depending on how the account was configured when you upgraded there may be a small possibility that logging into the guest account could wipe data from non-guest accounts. This is a rare bug, but one that caused a number of people to be concerned about the potential for data loss.
Several rumor sites have been following the development of OS X 10.6.2, of which various versions have been seeded to developers. The latest information from these updates suggests that the account bug has been addressed by Apple in this update (1, 2), so if you are holding out on upgrading to Snow Leopard because of this bug then you should be able to avoid any potential data loss from this bug by installing 10.6.2 on your system.
If you have already purchased Snow Leopard and have not yet upgraded, you should be able to avoid this problem by first disabling your guest account as a safeguard and then upgrading to Snow Leopard. Then run Software Update and apply the 10.6.2 updater before trying your guest account again.
For new purchasers, you have the option to check the Snow Leopard installation disc to see what version will be installed. Apple constantly updates the retail installers to contain the latest version of the OS, so you have the option to ask for a recently shipped package when you buy the software, and check the side of the box to see if the version says 10.6.2. If you cannot find one containing 10.6.2, you can still install and immediately update as per the advice above to avoid guest account problems.
As always, be sure to backup your data before upgrading your operating system.