I just updated Minecraft Beta from 1.2_01 to 1.2_02 and my saves (I had only one world) seem lost.
Is it possible try to recover it in some way?
You may be able to recover it using some of the techniques that are used when the files go missing in power outages. All credit goes to the origional poster, this is located on the minecraft offical forums. I am unsure if this works for upgrade losses but id imagine the backup would still be there unless you have played to the point it recreated? You may be able to check %appdata%.minecraft\saves and see if your world still exists on that side for the recovery attempt.
Tutorial: How to restore missing world after system crash http://www.minecraftforum.net/viewtopic.php?f=17&t=51286
Wish i could be more specific, reply here if you need help or have any concerns.