I recently had a game where everythnig was giong perfectly, until I realized that my iron industry was only linked to iron ore, and that no coal could be provided to the factory. This caused my iron factory to produce nothing as it didn't have the appropriate materials. I could have gone in an added the factory manually via PS, but I usually consider that cheating !
What I think happened was that the coordinates of the coal mine which was supposed to be linked up to the factory were somehow changed or the coal mine itself was deleted after it was connected. I think this because, of the three 'links' the iron factory had, two were to iron mines as was proper and the last was an 'empty' link. It linked me to the middle of nowhere. This was frustrating.
Also, just FYI:
* I am using the latest windows release via the on-line download installer as of August 25, 2011
* I am using the HD pakset (which I don't think plays into the core mechanics here)
* I am also using the default setting. The only values I changed in map gen were map size, city number, factory number, and attraction number.
UPDATE: Looking into the problem a bit more, I found that it held true with all industries, and affected industry connections as well as connections with cities (workers live in XX). What happens is that on the factory information pop-up empty links sometimes show up which take you nowhere. BUT looking through the factory list, I noticed these 'blank' links were actually representative of a link in another factory to the factory in question.
For example, a cement mill was connected to a stone quarry as well as an 'empty' link. Instead of linking it up to a coal mine right away, I looked through the existing coal mines and found one which was linked to the mill. Assigning it to a line, I found that goods moved normally between the two EVEN THOUGH THE COAL MINE DID NOT APPEAR ON THE CEMENT MILL's CONNECTED FACTORY LIST. This is, I think, a bug.
Also, on this same factory there was a list of nearby cities. One did not have a 'zoom to' link next to it, and one was left blank. What had happened was that the link column had shifted down one line, so the links and the named cities did not line up. While this might be a problem with my individual system, I think the problem is probably within the game itself. Has anyone noticed these specific problems happening before?