Wow, I thought it was possibly something I'd done, but yes the same thing happened to me the first night I got the game. I hadn't played anything else afterward, hadn't turned it off while saving, etc.
Luckily, I'd barely made any progress; unluckily, the corrupted save can't be wiped from the card, so I'm forced to either live with it and pray for the sanctity of other saves (originally it said the corrupt save took up like 3 megs, but seems to be down to about nothing now) or format the card and lose all of my uncopyable Monster Hunter progress.
I've even used all those wacky scene utils that let you ftp to your memory card and dig around, and a.) trying to delete the GH folder crashes the server, b.) uncopyable save files are treated as like 1 byte files rather than folders, so essentially I'm completely screwed.
Anyway, yeah, back up your saves often and move your GH file to a card that doesn't have any other saves that it'd kill you to lose.
