The game has autosave checkpoints in nearly every room. If you should die or exit the game, you'll be placed no more than two rooms away from the your location.

I'm not sure if this is a problem that just I'm having, but I got fairly far into the game and had to exit it, and when I got back today it seems all my progress is gone.

Whoa! You can try to restore the backup save.

Go to C:\Users\<USERNAME>\AppData\Roaming\Doublefine\Headlander

Create a copy of progress.sav (just in case).

Look for _prevprogress.sav.

Rename it to progress.sav.

Launch the game and see if you can load your game.

Thanks for the help, but I ended up starting the game again, and caught back up.