Well, I added the domains spamgourmet.com and xoxy.net to my safe list, and changed my junk mail settings to standard, and there is still no sign of the mail. They are not in the junk list or my regular mailbox. They have just been vaporized!
The messages aren't being bounced either, so I don't know how to hunt this down. I haven't contacted hotmail customer support yet, although I'm not hoping for much.
I guess if everyone else's hotmail is forwarding then it's just me. I'll let you know if I find something.