Update! Read these two posts:
1,2
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Bethesda has released the Shivering Isles Beta Patch 1.2. It will work for all language versions worldwide, except those downloaded from Direct2Drive.

The patch fixes (well, to summarize it) a bug which appears after +- 150 hours of playing with Shivering Isles, which made items disappear when you dropped them. If you want details take a look at this page.

You should only use this patch if you have the Shivering Isles expansion of course! Now let's hope they fix the rest soon...

(For those using the Oblivion Script Extender, v0009c won't work with it. You'll have to download an update, which will probably be avaiable in a few days.)

And credits to Abramul for spotting this!