There are three things that come to mind immediately. First, what Hardolph mentioned - your symbology. For instance, if you are using categories make sure the all other values box is checked. Second, you have a definition query on your layer being edited. If you do any new poly will disappear. Even after years of experience I still find myself getting caught by these every once in a while.
Third, and I haven't tested it recently, but it was a long standing issue that you had to be able to see the entire polygon being created via auto-complete in your visible extent; if you zoomed in too far to finish it off it could fail.