Did you save the action set (folder) to an .atn file (using the menu illustrated below), or just leave it in the panel in an unsaved state?
Loaded .atn files or newly created and unsaved action sets are temporarily stored in the Actions Palette presets file (Actions Palette.psp). This file should be considered temporary and may be subject to corruption or loss, which is why making an explicit save to .atn file for each individual action set is strongly advised.
Never mind. I opened an older version of Photoshop by accident. I opened the correct one and Ta Da! There it was.
But, responding to Stephen's question, no, I did not do that. It is my opinion, and probably shared by many, that the action is saved when you run it. It's cute how Photoshop tries to blame the victims when their program fails.