It sounds like the drive has either become corrupted (removing without ejecting is a common reason) or it is failing.
To try to fix it, open up a command prompt and type this (substitute the actual drive letter for X:)
chkdsk X: /F
If that does not restore your files, then download and run a file recovery utility such as UndeletePlus.
THEN, the most important step, is to keep copies of your files in MULTIPLE places so that the loss of your USB drive is not the end of the world