Ted,
If any of the layers being package use transparency the captured thumbnail will be blank.
The good news is that the problems with thumbnails have been corrected for 9.4 beta 2. Now (9.4 beta 2) the display on your screen when you create the package, is captured exactly as it is displayed.
Prior to this 9.4 release, the only way around the problem is to capture a picture manually (print screen, etc..) and edit it Online (Edit Detailted information -> click the thumbnail -> browse for a thumbnail to use).
Mark