I remember on the final assault in the main story, there was me and the Lyon's Pride, in the wake of Liberty Prime, travelling through a mass of cars. Now, interestingly enough, the Pride doesn't normally venture out of the ol' Pentagon Fortress at this part when I play the game, only Sarah Lyons. Well this time, they had done, and I was busy making sure they'd live.
Well, a stray missile launcher shot from an Enclave goon missed Liberty Prime and headed towards our graveyard of cars. I quickly ran and jumped for safety. There was a massive explosion in which both my player character's legs were crippled. I was notified of Sarah Lyons's being knocked unconscious. I turned around and found that there was no trace of the Lyon's Pride, who had been right behind me, excepting Sarah. There wasn't even any bits of flesh, no discarded weapons, nothing. They had simply vanished.
To this day, I never did find out what became of the Pride. They were nowhere to be found back at the Pentagon/Citadel when playing Broken Steel. It's the biggest unsolved mystery I've come across in a game.