A rather nasty little virus is hitting Borderlands 2 on Xbox Live, where your save file is replaced and you're basically tricked into playing "hardcore mode" where your characters dies permanently and don't respawn.
Gearbox Software community manager Chris Faylor commented on the subject as follows:
"Concerned Xbox 360 players of Borderlands 2 should consider playing online with trusted individuals in non-public sessions."
"We also advise that before ceasing play, users always select "Save and Quit" from within the pause menu while their character is alive. If after the death of their character players find themselves at the main menu of Borderlands 2 instead of respawning in-game, be sure to immediately select "Continue" to resume playing as that character."
A patch that corrects the issue has been submitted to Microsoft so hopefully the game will be safe again soon.