If you just upgraded to Mountain Lion..........
Have a look at your mailbox column, beside "On My Mac" or "iCloud" there could be a greyed out prompt that only appears when you move the mouse over it: "show" or "hide".
Frightened the cr*p out of me after I upgraded to ML, "Oh No" my mail is gone.
Then I found the "show" prompt - all was there & well.
Good luck!