My music is all CD's ripped as WMA files. So no online content at all.
Still, sometimes when I sync up with the Zune app, it'll wipe songs off the phone and the collection. They're still on my harddrive and I can re-add them by dropping them back on the Zune app, and then dragging it over to the phone.
I have no idea why this happens, as I'm manually syncing only the part of my collection I listen to it really makes no sense.