Yes I have 2007 on my box as well (XP SP2) and am having the same issue.  I
have seen a few other threads on this as well but no indication on how to
resolve.

Hoping to bump this post and get fresh eyes on the problem....

Yes, I have been seeing this hapen also since I installed Office 2007 just a
week ago.  I will mention that I did have this happen occasionally under
Outlook 2003, but under 2007 it happens much more frequently if not all the
time.  The funny thing is that the behavior is not always consistent either:
Sometimes just certain people's shared calendars are missing, and sometimes
(like this morning) all shared calendars are missing and I have to re-add
them all.  I was hoping that the shared calendaring would be a much improved
feature of 2007, but from what I can tell it really is the same thing if not
actually worse.  Intuitively there should be a Save button and/or the ability
to group calendars and save them so that they are remembered upon Outlook
initialization.

You are not alone jfarruggia.  I have been experiencing the same disappearing
calendars syndrome with Outlook 2007 and Exchange 6.5.  Outlook 2003 and the
same exchange server worked flawlessly.  Very frustrating.  Have you found a
solution yet?

I get exactly the same too with Outlook 2007/Exchange 2003, and can't find
anything that looks like a resolution - only people reporting it as a problem.

I can't even find where Outlook stores this information.  It doesn't appear
to be part of the Outlook profile, which suggests to me that it's on the
Exchange server somewhere.

The work-around I have (which only applies to Outlook 2007) is to create a
new group.  On the calendar view, click add new group, and give it a suitable
name.  Open a shared calendar, which will add it to the "People's calendars"
section.  Drag the calendar from "People's calendars" into the new group.

So far the new group has stayed constant, and no calendars have disappeared.