In my first session with the game, I played it for a while and made a decent amount of progress, including doing all of the amateur challenges for the first set of levels. Just now when I went to continue playing it, I found that all of my save data was gone. It's as if I had never played it before. Testing it briefly, it now looks like I can play the game, exit, and start it back up without losing progress. I can't think of what could have caused this to happen, and I'm a bit concerned about the possibility of it happening again.

EDIT: Thanks to the skill-based nature of the game, I was able to get the progress I had made back rather quickly. Still, I have to wonder what caused my data to disappear in the first place.

Just in case, back-up regularly your save data, which should be located here - %APPDATA%\olliolli\

The same happened to me... I don't think there's a solution for it and I don't feel like risking meddling with compatibility settings and admin privileges and lose my save data again...

The second time I boot the game it seems to save and now I can safely resume from where I left off no matter how many times I close and restart OlliOlli, but that very first run didn't save properly.

Seems to be a common bug. The same thing happened to me.

The positive side is that the loss of progress only seems to happen when you play the game for the first time. So I would recommend new players to just open and close the game again when you first launch it.